We propose an example of currenciy ranking for EM and G10 based on the factors described hereinafter.
Ranking construction:
- Factors fall into two categories, [a] valuation/fundamental/competitiveness and [b] carry/monetary policy
- For each individual factor, we calculate its relative value versus the average of its EM peers ; and then normalized into a z-score
- A simple average of these normalized relative factors is then used to generate the ranking
| EM FX Ranking | ||||||||||||
| Carry and monetary pol. | Valuation/fundamental factors | FX performance | ||||||||||
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Aggregate | Â | Carry-to-vol | (-1)Excess credit | Â | (-1)REER v.5YMA | Growth vs US | C/A %GDP | TB v.6m | Â | 1w perf | 1m perf | |
| Â | [a] | [b] | Â | [c] | [d] | [e] | [f] | Â | [g] | [g] | ||
| WEIGHTS | Â | 16% | 55% | Â | 6% | 0% | 2% | 20% | Â | |||
| TRY | 2.14 → |  | 0.5 | 9.3 |  | 16.47 | -1.45 | -4.12 | 3.17 |  | -2.4 | -2.26 |
| RUB | 1.01 → |  | 0.32 | -1.35 |  | 9.5 | -1.46 | 5.46 | 2.93 |  | 1.25 | -1 |
| BRL | 0.66 → |  | 0.19 | 3.08 |  | 9.4 | -1.73 | -0.73 | 0.02 |  | 0.05 | 4.77 |
| RON | 0.5 → |  | 0.05 | 4.13 |  | 0.34 | 1.35 | -4.33 | -0.46 |  | 0.2 | 0.29 |
| COP | 0.46 → |  | 0.12 | 2.19 |  | 11.01 | -0.39 | -3.18 | -0.35 |  | 1.26 | 0.83 |
| PLN | 0.21 → |  | -0.09 | 2.26 |  | 0.98 | 2.72 | -0.59 | -0.76 |  | 0.63 | 1.06 |
| ZAR | 0.17 → |  | 0.24 | 0.25 |  | -0.42 | -1.92 | -3.5 | -0.74 |  | 0.9 | 2.46 |
| IDR | 0.08 → |  | 0.54 | -1.58 |  | 0.86 | 2.17 | -2.72 | -1.04 |  | 1.58 | 3.2 |
| HUF | -0.01 → |  | -0.26 | 1.91 |  | 0.81 | 1.94 | 1.8 | -1.25 |  | 0.49 | 1.58 |
| INR | -0.04 → |  | 0.5 | -3.18 |  | -2.21 | 4.1 | -2.31 | -0.78 |  | -1.08 | 1.7 |
| MXN | -0.12 → |  | 0.39 | -5.14 |  | 4.9 | -0.48 | -1.56 | -0.32 |  | 1.43 | 6.13 |
| PEN | -0.15 → |  | 0.3 | -4.61 |  | -0.1 | -0.73 | -1.73 | -0.34 |  | -0.06 | 0.13 |
| CZK | -0.19 ↑ |  | -0.12 | -1.88 |  | -5.83 | -0.65 | 0.41 | -0.62 |  | 0.68 | 2.01 |
| KRW | -0.24 ↓ |  | -0.13 | -2.58 |  | -1.9 | -1.04 | 4.7 | -0.72 |  | 0.72 | 0.63 |
| CNH | -0.37 → |  | 0.03 | -6.11 |  | 2.83 | 3.45 | 0.42 | -0.26 |  | 1.57 | 1.75 |
| CLP | -0.38 → |  | -0.05 | -2.72 |  | 1.65 | -0.25 | -2.22 | -1.4 |  | 1.15 | 1.07 |
| ILS | -0.4 → |  | -0.49 | -1.36 |  | 1.25 | -0.1 | 2.03 | -1.2 |  | 1.13 | 2.53 |
| THB | -0.49 → |  | -0.2 | -1.43 |  | -4.8 | 0.34 | 7.67 | -2.1 |  | 0.55 | 2.52 |
| PHP | -0.65 ↑ |  | 0.45 | -5.51 |  | 2.74 | 3.11 | -2.95 | -2.52 |  | 0.74 | 0.96 |
| TWD | -0.74 ↓ |  | -0.46 | -3.61 |  | -2.6 | -0.74 | 12.79 | -1.93 |  | 0.18 | 0.14 |
| ARS | -1.44 → |  | 0.46 | -23.11 |  | 18.89 | -6.54 | -6.02 | 0.71 |  | 1.24 | 2.47 |
| Average | 0 | Â | 0.11 | -1.96 | Â | 3.04 | 0.08 | -0.03 | -0.47 | Â | 0.58 | 1.57 |
|
[a] Carry-to-volatility ratio, FX Forward implied 3-month carry, annualized, capped at 10% p.a. [b] Inflation-adjusted credit to private non-financial sector, growth in excess of real GDP growth, negative, %oya [c] Real effective exchange rate, % change versus previous 5-years moving average, negative, winsorized at 15% [d] GDP growth trend versus base country (US), 3-month average, %oya [e] Current account ratio, % of GDP, 12-month trailing [f] Trade balance ratio, % of GDP, change over 12 months ago, in p.p. [g] FX performance is spot returns over past 1 month and 1 week |
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The underlying factors can be compared using the graphs and tables in the following sections.
Ranking construction:
- Factors fall into two categories, [a] valuation/fundamental/competitiveness and [b] carry/monetary policy
- For each individual factor, we calculate its relative value versus the average of its EM peers ; and then normalized into a z-score
- A simple average of these normalized relative factors is then used to generate the ranking
| G10 FX Ranking | ||||||||||||
| Carry and monetary pol. | Valuation/fundamental factors | FX performance | ||||||||||
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Aggregate | Â | Carry-to-vol | Excess infl. | Â | TB v.6m | Ind. prod.(oya) | Growth vs US | (-1)U/E v.6m | Â | 1w perf | 1m perf | |
| Â | [a] | [b] | Â | [c] | [d] | [e] | [f] | Â | [g] | [g] | ||
| WEIGHTS | Â | 15% | 26% | Â | 25% | 18% | 16% | 0% | Â | |||
| NOK | 1.12 → |  | -0.16 | 0.99 |  | 2.86 | 2.21 | -1.44 | -0.1 |  | 0.91 | 0.51 |
| AUD | 0.48 → |  | -0.05 | -0.61 |  | 0.84 | 2.76 | -0.24 | 0.2 |  | 1.43 | 0.12 |
| CAD | 0.35 → |  | -0.1 | -0.32 |  | 0.03 | 4.6 | -0.94 | 0.4 |  | 0.81 | 0.93 |
| NZD | 0.13 → |  | -0.06 | -0.11 |  | -0.53 | 0.53 | -0.4 | 0.5 |  | 1.49 | -0.65 |
| GBP | -0.05 ↑ |  | -0.13 | 0.31 |  | -0.16 | -1.45 | -1.5 | -0.1 |  | 0.95 | 2.86 |
| SEK | -0.06 ↓ |  | -0.3 | -0.04 |  | -0.45 | 3.2 | -1.35 | 0.2 |  | 0.4 | 1.76 |
| EUR | -0.38 → |  | -0.41 | -0.17 |  | -0.36 | 1.04 | -1.38 | 0.3 |  | 0.65 | 1.34 |
| CHF | -0.59 → |  | -0.46 | -0.81 |  | -0.62 | 1.39 | -0.85 | 0.2 |  | 0.42 | 1 |
| JPY | -1.01 → |  | -0.34 | -1.11 |  | -0.72 | 0.19 | -3 | -0.1 |  | 0.03 | 4.52 |
| Average | 0 | Â | -0.22 | -0.21 | Â | 0.1 | 1.61 | -1.23 | 0.17 | Â | 0.79 | 1.38 |
|
[a] Carry-to-volatility ratio, FX Forward implied 3-month carry, annualized, capped at 10% p.a. [b] Excess inflation: broad (50% headline/ 50% core) annual inflation over target, p.p. [c] Trade balance ratio, % of GDP, change over 12 months ago, in p.p. [d] Industrial production, %oya [e] GDP growth trend versus base country (US), 3-month average, %oya [f] Unemployemnt rate, change over 6m, p.p., negative [g] FX performance is spot returns over past 1 month and 1 week |
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Factors are compared between countries using whisker plots.
They are ordered by their long-term medians.
The latest value (red) as well as 3-month ago value (green) are highlighted for guidance.
Factors are compared between countries using whisker plots.
They are ordered by their long-term medians.
The latest value (red) as well as 3-month ago value (green) are highlighted for guidance.
Factors are compared between countries using whisker plots.
They are ordered by their long-term medians.
The latest value (red) as well as 3-month ago value (green) are highlighted for guidance.
| Brazilian real : macro factors as of 2019-01-13 | |||||||||
| USDBRL | comparison | historic averages | |||||||
|---|---|---|---|---|---|---|---|---|---|
| 12m ago | 3m ago | 1m ago | latest | Â | EMAVG group | Â | 2003-2009 | 2010-2019 | |
| Valuation/fundamental and competitiveness | |||||||||
|   Real FX vs. 5Y, % [a] | -4.87 | -11.6 | -8.06 | -9.4 |  | -2.99 |  | 11.92 | -4.42 |
| Â Â Current account balance, % of GDP [b] | -0.27 | -0.85 | -0.73 | -0.73 | Â | 0.09 | Â | 0.31 | -2.56 |
| Â Â Trade balance, % GDP [c] | 3.26 | 2.88 | 2.95 | 3.03 | Â | 0.29 | Â | 3.63 | 1.33 |
| Â Â Trade balance, diff. oya [d] | 0.63 | -0.32 | -0.3 | -0.23 | Â | -0.82 | Â | 0.04 | 0.16 |
|   Excess GDP growth vs. US, % [e] | -0.3 | -1.73 | -1.73 | -1.73 |  | 0.14 |  | 1.84 | -0.86 |
|   Excess GDP growth vs. potential, % [f] | 0.38 | 0.09 | 0.09 | 0.09 |  | -0.36 |  | 0.81 | -1.89 |
| Carry and monetary policy | |||||||||
| Â Â Market-implied 3M FX carry, % [g] | 4.15 | 3.32 | 2.53 | 2.73 | Â | 1.76 | Â | 8.33 | 7.68 |
| Â Â Interest rates differentials, % [h] | 5.07 | 4.3 | 3.71 | 3.62 | Â | 4.32 | Â | 12.28 | 9.6 |
| Â Â Real 3M FX carry, % [i] | 1.91 | 1.49 | 0.69 | 0.89 | Â | -0.02 | Â | 4.44 | 4.26 |
| Â Â Carry-to-vol ratio [j] | 0.47 | 0.2 | 0.16 | 0.21 | Â | 0.1 | Â | 0.6 | |
| Â Â Excess inflation, % [k] | -1.55 | 0.03 | -0.45 | -0.75 | Â | 2.06 | Â | 1.46 | 1.56 |
| Â Â Excess credit growth, %oya [l] | -4.66 | -3.86 | -3.38 | -3.08 | Â | 1.99 | Â | 3.67 | 3.6 |
| Â Â Excess M1 growth, %oya [m] | 0.61 | 4.31 | 1.85 | 2.16 | Â | 0.46 | Â | 3.81 | -0.94 |
| Market distress | |||||||||
| Â Â FX Fwd market, short-term vol., % [n] | 8.87 | 16.54 | 15.73 | 12.88 | Â | 7.73 | Â | 14.28 | |
| Â Â Volatility shock (ratio s-t/m-t) [o] | -0.26 | -0.07 | -0.08 | -0.2 | Â | -0.16 | Â | 0.03 | |
| Â Â Implied FX vol deviation, % [p] | 0.32 | 10.62 | -6.93 | -4.27 | Â | 0.08 | Â | 0.21 | -0.04 |
|
[a] Real effective exchange rate, % change versus previous 5-years moving average [b] Current account ratio, % of GDP, 12-month trailing [c] Trade balance ratio, % of GDP, 12-month trailing [d] Trade balance ratio, % of GDP, change over 12 months ago, in p.p. [e] GDP growth trend versus base country (US), 3-month average, %oya [f] GDP growth trend versus estimated potential (OECD), 3-month average, %oya [g] FX Forward implied 3-month carry, annualized, capped at 20% p.a. [h] Local 3-month nominal rate differentials over base currency (US), % [i] Real FX carry: forward-implied carry, minus inflation expectation differential to base country (US) [j] Carry-to-vol ratio (exponentially-weighted annualized std deviation of forwards returns) [k] Broad (50% headline/ 50% core) annual inflation over target, p.p. [l] Inflation-adjusted credit to private non-financial sector, growth in excess of real GDP growth, %oya [m] Inflation-adjusted M1 growth in excess of real GDP growth, %oya [n] Exponentially-weighted (11-day halftime) annualized volatility of FX forward returns, % [o] Ratio of 11-day to 22-day halftime exponentially-weighted volatility of FX forward returns, p.p. [p] ATM 1M implied FX options volatility, % deviation vs. past 3-month moving average |
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| Chilean peso : macro factors as of 2019-01-13 | |||||||||
| USDCLP | comparison | historic averages | |||||||
|---|---|---|---|---|---|---|---|---|---|
| 12m ago | 3m ago | 1m ago | latest | Â | EMAVG group | Â | 2003-2009 | 2010-2019 | |
| Valuation/fundamental and competitiveness | |||||||||
|   Real FX vs. 5Y, % [a] | 3.57 | 2.89 | 2.46 | -1.65 |  | -2.99 |  | 0.43 | -1.59 |
| Â Â Current account balance, % of GDP [b] | -1.5 | -2.22 | -2.22 | -2.22 | Â | 0.09 | Â | 1.66 | -1.72 |
| Â Â Trade balance, % GDP [c] | 2.86 | 2.46 | 2.04 | 1.8 | Â | 0.29 | Â | 8.86 | 3.08 |
| Â Â Trade balance, diff. oya [d] | 0.68 | -0.08 | -0.76 | -1.05 | Â | -0.82 | Â | 0.13 | -0.14 |
|   Excess GDP growth vs. US, % [e] | 0.78 | -0.25 | -0.25 | -0.25 |  | 0.14 |  | 2.57 | 1.32 |
|   Excess GDP growth vs. potential, % [f] | -0.02 | -0.16 | -0.16 | -0.16 |  | -0.36 |  | 0.14 | -0.25 |
| Carry and monetary policy | |||||||||
| Â Â Market-implied 3M FX carry, % [g] | 0.16 | 0.44 | -1.94 | -0.59 | Â | 1.76 | Â | 0.75 | 2.86 |
| Â Â Interest rates differentials, % [h] | 1.35 | 0.43 | 0.54 | 0.43 | Â | 4.32 | Â | 3.67 | |
| Â Â Real 3M FX carry, % [i] | -0.42 | 0.02 | -2.37 | -1.02 | Â | -0.02 | Â | -0.38 | 1.84 |
| Â Â Carry-to-vol ratio [j] | 0.02 | 0.03 | -0.14 | -0.07 | Â | 0.1 | Â | 0.4 | |
| Â Â Excess inflation, % [k] | -0.73 | 0.14 | -0.18 | -0.43 | Â | 2.06 | Â | 0.57 | 0 |
| Â Â Excess credit growth, %oya [l] | -0.61 | 2.15 | 2.47 | 2.72 | Â | 1.99 | Â | 5.15 | 2.87 |
| Â Â Excess M1 growth, %oya [m] | 5.19 | 5.97 | 4.21 | 6.22 | Â | 0.46 | Â | 7.64 | 5.87 |
| Market distress | |||||||||
| Â Â FX Fwd market, short-term vol., % [n] | 10.51 | 15.13 | 14.18 | 7.88 | Â | 7.73 | Â | 9.3 | |
| Â Â Volatility shock (ratio s-t/m-t) [o] | 0.17 | 0.37 | 0.06 | -0.48 | Â | -0.16 | Â | 0.02 | |
| Â Â Implied FX vol deviation, % [p] | -0.49 | 1.49 | 0.04 | -0.2 | Â | 0.08 | Â | 0.06 | -0.03 |
|
[a] Real effective exchange rate, % change versus previous 5-years moving average [b] Current account ratio, % of GDP, 12-month trailing [c] Trade balance ratio, % of GDP, 12-month trailing [d] Trade balance ratio, % of GDP, change over 12 months ago, in p.p. [e] GDP growth trend versus base country (US), 3-month average, %oya [f] GDP growth trend versus estimated potential (OECD), 3-month average, %oya [g] FX Forward implied 3-month carry, annualized, capped at 20% p.a. [h] Local 3-month nominal rate differentials over base currency (US), % [i] Real FX carry: forward-implied carry, minus inflation expectation differential to base country (US) [j] Carry-to-vol ratio (exponentially-weighted annualized std deviation of forwards returns) [k] Broad (50% headline/ 50% core) annual inflation over target, p.p. [l] Inflation-adjusted credit to private non-financial sector, growth in excess of real GDP growth, %oya [m] Inflation-adjusted M1 growth in excess of real GDP growth, %oya [n] Exponentially-weighted (11-day halftime) annualized volatility of FX forward returns, % [o] Ratio of 11-day to 22-day halftime exponentially-weighted volatility of FX forward returns, p.p. [p] ATM 1M implied FX options volatility, % deviation vs. past 3-month moving average |
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| Colombian peso : macro factors as of 2019-01-13 | |||||||||
| USDCOP | comparison | historic averages | |||||||
|---|---|---|---|---|---|---|---|---|---|
| 12m ago | 3m ago | 1m ago | latest | Â | EMAVG group | Â | 2003-2009 | 2010-2019 | |
| Valuation/fundamental and competitiveness | |||||||||
|   Real FX vs. 5Y, % [a] | -11.95 | -4.44 | -10.12 | -11.01 |  | -2.99 |  | 4.63 | -3.92 |
| Â Â Current account balance, % of GDP [b] | -3.34 | -3.18 | -3.18 | -3.18 | Â | 0.09 | Â | -2.24 | -3.79 |
| Â Â Trade balance, % GDP [c] | -1.94 | -1.52 | -1.72 | -1.72 | Â | 0.29 | Â | -0.31 | -1.05 |
| Â Â Trade balance, diff. oya [d] | 1.97 | 0.95 | 0.68 | 0.68 | Â | -0.82 | Â | 0.04 | -0.15 |
|   Excess GDP growth vs. US, % [e] | -0.72 | -0.39 | -0.39 | -0.39 |  | 0.14 |  | 4.01 | 1.56 |
|   Excess GDP growth vs. potential, % [f] | -2.38 | -0.91 | -0.91 | -0.91 |  | -0.36 |  | 0.67 | -0.54 |
| Carry and monetary policy | |||||||||
| Â Â Market-implied 3M FX carry, % [g] | 2.91 | 1.21 | 1.41 | 1.47 | Â | 1.76 | Â | 4.57 | 2.99 |
| Â Â Interest rates differentials, % [h] | 2.82 | 1.73 | 1.42 | 1.34 | Â | 4.32 | Â | 3.9 | |
| Â Â Real 3M FX carry, % [i] | 0.98 | -0.06 | 0.25 | 0.36 | Â | -0.02 | Â | 1.45 | 1.38 |
| Â Â Carry-to-vol ratio [j] | 0.55 | 0.12 | 0.14 | 0.14 | Â | 0.1 | Â | 0.36 | |
| Â Â Excess inflation, % [k] | 1.09 | 0.22 | 0.27 | 0.18 | Â | 2.06 | Â | 0.8 | 0.74 |
| Â Â Excess credit growth, %oya [l] | -2.57 | -2.23 | -2.27 | -2.19 | Â | 1.99 | Â | 4.33 | 4.15 |
| Â Â Excess M1 growth, %oya [m] | 0.53 | 1.55 | 1.91 | 1.45 | Â | 0.46 | Â | 3.25 | 2.34 |
| Market distress | |||||||||
| Â Â FX Fwd market, short-term vol., % [n] | 5.32 | 10.27 | 10.31 | 10.38 | Â | 7.73 | Â | 10.39 | |
| Â Â Volatility shock (ratio s-t/m-t) [o] | -0.2 | -0.15 | -0.05 | 0 | Â | -0.16 | Â | 0.01 | |
| Â Â Implied FX vol deviation, % [p] | -0.08 | -0.01 | -0.89 | -0.07 | Â | 0.08 | Â | 0.19 | -0.13 |
|
[a] Real effective exchange rate, % change versus previous 5-years moving average [b] Current account ratio, % of GDP, 12-month trailing [c] Trade balance ratio, % of GDP, 12-month trailing [d] Trade balance ratio, % of GDP, change over 12 months ago, in p.p. [e] GDP growth trend versus base country (US), 3-month average, %oya [f] GDP growth trend versus estimated potential (OECD), 3-month average, %oya [g] FX Forward implied 3-month carry, annualized, capped at 20% p.a. [h] Local 3-month nominal rate differentials over base currency (US), % [i] Real FX carry: forward-implied carry, minus inflation expectation differential to base country (US) [j] Carry-to-vol ratio (exponentially-weighted annualized std deviation of forwards returns) [k] Broad (50% headline/ 50% core) annual inflation over target, p.p. [l] Inflation-adjusted credit to private non-financial sector, growth in excess of real GDP growth, %oya [m] Inflation-adjusted M1 growth in excess of real GDP growth, %oya [n] Exponentially-weighted (11-day halftime) annualized volatility of FX forward returns, % [o] Ratio of 11-day to 22-day halftime exponentially-weighted volatility of FX forward returns, p.p. [p] ATM 1M implied FX options volatility, % deviation vs. past 3-month moving average |
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| Mexican peso : macro factors as of 2019-01-13 | |||||||||
| USDMXN | comparison | historic averages | |||||||
|---|---|---|---|---|---|---|---|---|---|
| 12m ago | 3m ago | 1m ago | latest | Â | EMAVG group | Â | 2003-2009 | 2010-2019 | |
| Valuation/fundamental and competitiveness | |||||||||
|   Real FX vs. 5Y, % [a] | -14.21 | -3.49 | -8.64 | -4.9 |  | -2.99 |  | -5.93 | -5.85 |
| Â Â Current account balance, % of GDP [b] | -1.64 | -1.56 | -1.56 | -1.56 | Â | 0.09 | Â | -0.94 | -1.7 |
| Â Â Trade balance, % GDP [c] | -0.94 | -0.99 | -1.28 | -1.28 | Â | 0.29 | Â | -0.98 | -0.55 |
| Â Â Trade balance, diff. oya [d] | 0.27 | -0.11 | -0.32 | -0.32 | Â | -0.82 | Â | -0.04 | 0.04 |
|   Excess GDP growth vs. US, % [e] | -0.99 | -0.48 | -0.48 | -0.48 |  | 0.14 |  | -0.27 | 0.77 |
|   Excess GDP growth vs. potential, % [f] | -1.23 | 0.04 | 0.04 | 0.04 |  | -0.36 |  | -0.43 | 0.65 |
| Carry and monetary policy | |||||||||
| Â Â Market-implied 3M FX carry, % [g] | 6.19 | 5.53 | 5.68 | 5.36 | Â | 1.76 | Â | 4.65 | 3.7 |
| Â Â Interest rates differentials, % [h] | 5.97 | 5.77 | 5.71 | 5.83 | Â | 4.32 | Â | 4.77 | 4.38 |
| Â Â Real 3M FX carry, % [i] | 4 | 3.78 | 4.08 | 3.82 | Â | -0.02 | Â | 3.21 | 2.2 |
| Â Â Carry-to-vol ratio [j] | 0.61 | 0.53 | 0.42 | 0.56 | Â | 0.1 | Â | 0.36 | |
| Â Â Excess inflation, % [k] | 3.77 | 2.02 | 1.72 | 1.83 | Â | 2.06 | Â | 1.47 | 1 |
| Â Â Excess credit growth, %oya [l] | 0.14 | 4.95 | 5.25 | 5.14 | Â | 1.99 | Â | 5.48 | 4.54 |
| Â Â Excess M1 growth, %oya [m] | 1.98 | 0.22 | 1.74 | 1.62 | Â | 0.46 | Â | 5.95 | 5.76 |
| Market distress | |||||||||
| Â Â FX Fwd market, short-term vol., % [n] | 10.2 | 10.36 | 13.66 | 9.6 | Â | 7.73 | Â | 11.08 | |
| Â Â Volatility shock (ratio s-t/m-t) [o] | 0.04 | -0.27 | -0.14 | -0.31 | Â | -0.16 | Â | 0.01 | |
| Â Â Implied FX vol deviation, % [p] | 2.62 | -3.19 | 0.92 | -0.09 | Â | 0.08 | Â | 0.11 | -0.01 |
|
[a] Real effective exchange rate, % change versus previous 5-years moving average [b] Current account ratio, % of GDP, 12-month trailing [c] Trade balance ratio, % of GDP, 12-month trailing [d] Trade balance ratio, % of GDP, change over 12 months ago, in p.p. [e] GDP growth trend versus base country (US), 3-month average, %oya [f] GDP growth trend versus estimated potential (OECD), 3-month average, %oya [g] FX Forward implied 3-month carry, annualized, capped at 20% p.a. [h] Local 3-month nominal rate differentials over base currency (US), % [i] Real FX carry: forward-implied carry, minus inflation expectation differential to base country (US) [j] Carry-to-vol ratio (exponentially-weighted annualized std deviation of forwards returns) [k] Broad (50% headline/ 50% core) annual inflation over target, p.p. [l] Inflation-adjusted credit to private non-financial sector, growth in excess of real GDP growth, %oya [m] Inflation-adjusted M1 growth in excess of real GDP growth, %oya [n] Exponentially-weighted (11-day halftime) annualized volatility of FX forward returns, % [o] Ratio of 11-day to 22-day halftime exponentially-weighted volatility of FX forward returns, p.p. [p] ATM 1M implied FX options volatility, % deviation vs. past 3-month moving average |
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| Peruvian sol : macro factors as of 2019-01-13 | |||||||||
| USDPEN | comparison | historic averages | |||||||
|---|---|---|---|---|---|---|---|---|---|
| 12m ago | 3m ago | 1m ago | latest | Â | EMAVG group | Â | 2003-2009 | 2010-2019 | |
| Valuation/fundamental and competitiveness | |||||||||
|   Real FX vs. 5Y, % [a] | -1.49 | 1.98 | 0.58 | 0.1 |  | -2.99 |  | -1.61 | 1.81 |
| Â Â Current account balance, % of GDP [b] | -1.12 | -1.73 | -1.73 | -1.73 | Â | 0.09 | Â | -0.18 | -2.85 |
| Â Â Trade balance, % GDP [c] | 3.06 | 3.27 | 3.04 | 3.04 | Â | 0.29 | Â | 5.13 | 2.2 |
| Â Â Trade balance, diff. oya [d] | 2.06 | 0.31 | 0.02 | 0.02 | Â | -0.82 | Â | 0.31 | 0.1 |
|   Excess GDP growth vs. US, % [e] | -0.16 | -0.73 | -0.73 | -0.73 |  | 0.14 |  | 4.21 | 2.45 |
|   Excess GDP growth vs. potential, % [f] | -2.94 | -1.95 | -1.95 | -1.95 |  | -0.36 |  | 1.74 | -1.48 |
| Carry and monetary policy | |||||||||
| Â Â Market-implied 3M FX carry, % [g] | 2.02 | 2.08 | 1.26 | 1.2 | Â | 1.76 | Â | 0.91 | 3.09 |
| Â Â Interest rates differentials, % [h] | 2.46 | 2.04 | 1.96 | 2.09 | Â | 4.32 | Â | 1.71 | 3.86 |
| Â Â Real 3M FX carry, % [i] | 1.69 | 2.36 | 1.57 | 1.5 | Â | -0.02 | Â | 0.78 | 2.62 |
| Â Â Carry-to-vol ratio [j] | 0.31 | 0.55 | 0.46 | 0.46 | Â | 0.1 | Â | 1.01 | |
| Â Â Excess inflation, % [k] | -0.64 | -0.72 | 0.17 | 0.19 | Â | 2.06 | Â | 0.58 | 0.88 |
| Â Â Excess credit growth, %oya [l] | 1.44 | 5.73 | 5.29 | 4.61 | Â | 1.99 | Â | -8.77 | 5.26 |
| Â Â Excess M1 growth, %oya [m] | 3.45 | 5.52 | 4.1 | 4.08 | Â | 0.46 | Â | 10.76 | 4.52 |
| Market distress | |||||||||
| Â Â FX Fwd market, short-term vol., % [n] | 6.43 | 3.81 | 2.74 | 2.62 | Â | 7.73 | Â | 3.8 | |
| Â Â Volatility shock (ratio s-t/m-t) [o] | 1.82 | -0.03 | -0.14 | -0.12 | Â | -0.16 | Â | 0.05 | |
| Â Â Implied FX vol deviation, % [p] | 0.21 | 0.6 | -0.09 | -0.16 | Â | 0.08 | Â | 0.38 | -0.1 |
|
[a] Real effective exchange rate, % change versus previous 5-years moving average [b] Current account ratio, % of GDP, 12-month trailing [c] Trade balance ratio, % of GDP, 12-month trailing [d] Trade balance ratio, % of GDP, change over 12 months ago, in p.p. [e] GDP growth trend versus base country (US), 3-month average, %oya [f] GDP growth trend versus estimated potential (OECD), 3-month average, %oya [g] FX Forward implied 3-month carry, annualized, capped at 20% p.a. [h] Local 3-month nominal rate differentials over base currency (US), % [i] Real FX carry: forward-implied carry, minus inflation expectation differential to base country (US) [j] Carry-to-vol ratio (exponentially-weighted annualized std deviation of forwards returns) [k] Broad (50% headline/ 50% core) annual inflation over target, p.p. [l] Inflation-adjusted credit to private non-financial sector, growth in excess of real GDP growth, %oya [m] Inflation-adjusted M1 growth in excess of real GDP growth, %oya [n] Exponentially-weighted (11-day halftime) annualized volatility of FX forward returns, % [o] Ratio of 11-day to 22-day halftime exponentially-weighted volatility of FX forward returns, p.p. [p] ATM 1M implied FX options volatility, % deviation vs. past 3-month moving average |
|||||||||
| Argentine peso : macro factors as of 2019-01-13 | |||||||||
| USDARS | comparison | historic averages | |||||||
|---|---|---|---|---|---|---|---|---|---|
| 12m ago | 3m ago | 1m ago | latest | Â | EMAVG group | Â | 2003-2009 | 2010-2019 | |
| Valuation/fundamental and competitiveness | |||||||||
|   Real FX vs. 5Y, % [a] | 2.72 | -33.36 | -21.71 | -18.89 |  | -2.99 |  | -14.74 | 11.73 |
| Â Â Current account balance, % of GDP [b] | -4.96 | -6.02 | -6.02 | -6.02 | Â | 0.09 | Â | 3.13 | -2.06 |
| Â Â Trade balance, % GDP [c] | -1.3 | -1.65 | -1.02 | -1.02 | Â | 0.29 | Â | 6.67 | 0.79 |
| Â Â Trade balance, diff. oya [d] | -1.66 | -0.84 | 0.16 | 0.16 | Â | -0.82 | Â | -0.4 | -0.66 |
|   Excess GDP growth vs. US, % [e] | 1.44 | -6.54 | -6.54 | -6.54 |  | 0.14 |  | 3.73 | -0.35 |
|   Excess GDP growth vs. potential, % [f] | 2.54 | -4.75 | -4.75 | -4.75 |  | -0.36 |  | -2.27 | -2.81 |
| Carry and monetary policy | |||||||||
| Â Â Market-implied 3M FX carry, % [g] | 10 | 10 | 10 | 10 | Â | 1.76 | Â | 5.98 | 9.74 |
| Â Â Interest rates differentials, % [h] | 21.56 | 40.91 | 48.51 | 46.69 | Â | 4.32 | Â | 5.95 | 19.41 |
| Â Â Real 3M FX carry, % [i] | -8.8 | -6.39 | -7.99 | -8.8 | Â | -0.02 | Â | -11.57 | |
| Â Â Carry-to-vol ratio [j] | 0.47 | 0.23 | 0.55 | 0.63 | Â | 0.1 | Â | 3.45 | |
| Â Â Excess inflation, % [k] | 11.63 | 29.46 | 36.77 | 36.77 | Â | 2.06 | Â | 18.59 | |
| Â Â Excess credit growth, %oya [l] | 17.92 | 30.42 | 23.11 | 23.11 | Â | 1.99 | Â | 5.82 | |
| Â Â Excess M1 growth, %oya [m] | -10.46 | -15.55 | -27.4 | -21.65 | Â | 0.46 | Â | -6.32 | |
| Market distress | |||||||||
| Â Â FX Fwd market, short-term vol., % [n] | 21.16 | 43.06 | 18.09 | 15.81 | Â | 7.73 | Â | 8.36 | |
| Â Â Volatility shock (ratio s-t/m-t) [o] | 2.65 | -0.04 | -0.46 | -0.4 | Â | -0.16 | Â | 0.14 | |
| Â Â Implied FX vol deviation, % [p] | -0.2 | 5.94 | -4.5 | 2.47 | Â | 0.08 | Â | -0.54 | 0.17 |
|
[a] Real effective exchange rate, % change versus previous 5-years moving average [b] Current account ratio, % of GDP, 12-month trailing [c] Trade balance ratio, % of GDP, 12-month trailing [d] Trade balance ratio, % of GDP, change over 12 months ago, in p.p. [e] GDP growth trend versus base country (US), 3-month average, %oya [f] GDP growth trend versus estimated potential (OECD), 3-month average, %oya [g] FX Forward implied 3-month carry, annualized, capped at 20% p.a. [h] Local 3-month nominal rate differentials over base currency (US), % [i] Real FX carry: forward-implied carry, minus inflation expectation differential to base country (US) [j] Carry-to-vol ratio (exponentially-weighted annualized std deviation of forwards returns) [k] Broad (50% headline/ 50% core) annual inflation over target, p.p. [l] Inflation-adjusted credit to private non-financial sector, growth in excess of real GDP growth, %oya [m] Inflation-adjusted M1 growth in excess of real GDP growth, %oya [n] Exponentially-weighted (11-day halftime) annualized volatility of FX forward returns, % [o] Ratio of 11-day to 22-day halftime exponentially-weighted volatility of FX forward returns, p.p. [p] ATM 1M implied FX options volatility, % deviation vs. past 3-month moving average |
|||||||||
| South African rand : macro factors as of 2019-01-13 | |||||||||
| USDZAR | comparison | historic averages | |||||||
|---|---|---|---|---|---|---|---|---|---|
| 12m ago | 3m ago | 1m ago | latest | Â | EMAVG group | Â | 2003-2009 | 2010-2019 | |
| Valuation/fundamental and competitiveness | |||||||||
|   Real FX vs. 5Y, % [a] | 8.12 | 1.25 | 5.24 | 0.42 |  | -2.99 |  | 0.72 | -3.94 |
| Â Â Current account balance, % of GDP [b] | -2.39 | -3.5 | -3.5 | -3.5 | Â | 0.09 | Â | -3.37 | -3.65 |
| Â Â Trade balance, % GDP [c] | 1.66 | 0.54 | 0.19 | 0.19 | Â | 0.29 | Â | -1.38 | -0.14 |
| Â Â Trade balance, diff. oya [d] | 1.23 | -0.62 | -1.39 | -1.39 | Â | -0.82 | Â | -0.7 | 0.28 |
|   Excess GDP growth vs. US, % [e] | -1.02 | -1.92 | -1.92 | -1.92 |  | 0.14 |  | 1.88 | -0.37 |
|   Excess GDP growth vs. potential, % [f] | -0.77 | -0.69 | -0.69 | -0.69 |  | -0.36 |  | 0.04 | -1.17 |
| Carry and monetary policy | |||||||||
| Â Â Market-implied 3M FX carry, % [g] | 5.43 | 4.78 | 4.38 | 4.33 | Â | 1.76 | Â | 6.16 | 5.8 |
| Â Â Interest rates differentials, % [h] | 5.46 | 4.6 | 4.41 | 4.34 | Â | 4.32 | Â | 6.17 | 5.53 |
| Â Â Real 3M FX carry, % [i] | 2.67 | 2.44 | 2.05 | 1.99 | Â | -0.02 | Â | 3.52 | 2.83 |
| Â Â Carry-to-vol ratio [j] | 0.27 | 0.25 | 0.26 | 0.32 | Â | 0.1 | Â | 0.42 | |
| Â Â Excess inflation, % [k] | 0.2 | 0.41 | 0.68 | 0.68 | Â | 2.06 | Â | 1.31 | 0.79 |
| Â Â Excess credit growth, %oya [l] | 0.66 | 0.02 | -0.25 | -0.25 | Â | 1.99 | Â | 6.85 | -0.02 |
| Â Â Excess M1 growth, %oya [m] | -0.3 | 0.4 | -2.18 | -2.18 | Â | 0.46 | Â | 2.85 | 2.2 |
| Market distress | |||||||||
| Â Â FX Fwd market, short-term vol., % [n] | 19.79 | 19.29 | 16.91 | 13.42 | Â | 7.73 | Â | 14.94 | |
| Â Â Volatility shock (ratio s-t/m-t) [o] | 0.23 | -0.03 | -0.09 | -0.25 | Â | -0.16 | Â | 0.01 | |
| Â Â Implied FX vol deviation, % [p] | -3.08 | -0.68 | -3.35 | 1.22 | Â | 0.08 | Â | 0.01 | -0.04 |
|
[a] Real effective exchange rate, % change versus previous 5-years moving average [b] Current account ratio, % of GDP, 12-month trailing [c] Trade balance ratio, % of GDP, 12-month trailing [d] Trade balance ratio, % of GDP, change over 12 months ago, in p.p. [e] GDP growth trend versus base country (US), 3-month average, %oya [f] GDP growth trend versus estimated potential (OECD), 3-month average, %oya [g] FX Forward implied 3-month carry, annualized, capped at 20% p.a. [h] Local 3-month nominal rate differentials over base currency (US), % [i] Real FX carry: forward-implied carry, minus inflation expectation differential to base country (US) [j] Carry-to-vol ratio (exponentially-weighted annualized std deviation of forwards returns) [k] Broad (50% headline/ 50% core) annual inflation over target, p.p. [l] Inflation-adjusted credit to private non-financial sector, growth in excess of real GDP growth, %oya [m] Inflation-adjusted M1 growth in excess of real GDP growth, %oya [n] Exponentially-weighted (11-day halftime) annualized volatility of FX forward returns, % [o] Ratio of 11-day to 22-day halftime exponentially-weighted volatility of FX forward returns, p.p. [p] ATM 1M implied FX options volatility, % deviation vs. past 3-month moving average |
|||||||||
| Russian ruble : macro factors as of 2019-01-13 | |||||||||
| USDRUB | comparison | historic averages | |||||||
|---|---|---|---|---|---|---|---|---|---|
| 12m ago | 3m ago | 1m ago | latest | Â | EMAVG group | Â | 2003-2009 | 2010-2019 | |
| Valuation/fundamental and competitiveness | |||||||||
|   Real FX vs. 5Y, % [a] | -2.57 | -6.55 | -6.02 | -9.5 |  | -2.99 |  | 16.14 | -2.87 |
| Â Â Current account balance, % of GDP [b] | 2.11 | 5.46 | 5.46 | 5.46 | Â | 0.09 | Â | 7.45 | 3.38 |
| Â Â Trade balance, % GDP [c] | 7.32 | 10.5 | 11.08 | 11.08 | Â | 0.29 | Â | 11.55 | 8.84 |
| Â Â Trade balance, diff. oya [d] | 0.36 | 3.42 | 3.87 | 3.87 | Â | -0.82 | Â | -0.49 | 0.11 |
|   Excess GDP growth vs. US, % [e] | -1.6 | -1.46 | -1.46 | -1.46 |  | 0.14 |  | 3.28 | -0.55 |
|   Excess GDP growth vs. potential, % [f] | -1.09 | 0.01 | 0.01 | 0.01 |  | -0.36 |  | -1.39 | -2.6 |
| Carry and monetary policy | |||||||||
| Â Â Market-implied 3M FX carry, % [g] | 4.7 | 3.6 | 3.95 | 4.45 | Â | 1.76 | Â | 2.55 | 6.54 |
| Â Â Interest rates differentials, % [h] | 6.19 | 5.72 | 5.75 | 5.78 | Â | 4.32 | Â | 4.64 | 7.79 |
| Â Â Real 3M FX carry, % [i] | 2.89 | 2.52 | 2.82 | 3.26 | Â | -0.02 | Â | -6.47 | 1.99 |
| Â Â Carry-to-vol ratio [j] | 0.64 | 0.29 | 0.29 | 0.41 | Â | 0.1 | Â | 0.59 | |
| Â Â Excess inflation, % [k] | -1.48 | -0.61 | -0.17 | 0.23 | Â | 2.06 | Â | -0.07 | 1.7 |
| Â Â Excess credit growth, %oya [l] | -1.33 | 2.19 | 1.74 | 1.35 | Â | 1.99 | Â | 20.29 | 2.34 |
| Â Â Excess M1 growth, %oya [m] | 7.18 | 9.32 | 6.63 | 6.24 | Â | 0.46 | Â | 1.31 | |
| Market distress | |||||||||
| Â Â FX Fwd market, short-term vol., % [n] | 7.34 | 12.41 | 13.4 | 10.94 | Â | 7.73 | Â | 13.77 | |
| Â Â Volatility shock (ratio s-t/m-t) [o] | -0.17 | -0.15 | 0.16 | -0.14 | Â | -0.16 | Â | 0.04 | |
| Â Â Implied FX vol deviation, % [p] | -1.47 | -1.48 | -0.27 | 1.42 | Â | 0.08 | Â | 0.33 | -0.01 |
|
[a] Real effective exchange rate, % change versus previous 5-years moving average [b] Current account ratio, % of GDP, 12-month trailing [c] Trade balance ratio, % of GDP, 12-month trailing [d] Trade balance ratio, % of GDP, change over 12 months ago, in p.p. [e] GDP growth trend versus base country (US), 3-month average, %oya [f] GDP growth trend versus estimated potential (OECD), 3-month average, %oya [g] FX Forward implied 3-month carry, annualized, capped at 20% p.a. [h] Local 3-month nominal rate differentials over base currency (US), % [i] Real FX carry: forward-implied carry, minus inflation expectation differential to base country (US) [j] Carry-to-vol ratio (exponentially-weighted annualized std deviation of forwards returns) [k] Broad (50% headline/ 50% core) annual inflation over target, p.p. [l] Inflation-adjusted credit to private non-financial sector, growth in excess of real GDP growth, %oya [m] Inflation-adjusted M1 growth in excess of real GDP growth, %oya [n] Exponentially-weighted (11-day halftime) annualized volatility of FX forward returns, % [o] Ratio of 11-day to 22-day halftime exponentially-weighted volatility of FX forward returns, p.p. [p] ATM 1M implied FX options volatility, % deviation vs. past 3-month moving average |
|||||||||
| Turkish lira : macro factors as of 2019-01-13 | |||||||||
| USDTRY | comparison | historic averages | |||||||
|---|---|---|---|---|---|---|---|---|---|
| 12m ago | 3m ago | 1m ago | latest | Â | EMAVG group | Â | 2003-2009 | 2010-2019 | |
| Valuation/fundamental and competitiveness | |||||||||
|   Real FX vs. 5Y, % [a] | -15.32 | -30.9 | -17.76 | -16.47 |  | -2.99 |  | 8.46 | -6.85 |
| Â Â Current account balance, % of GDP [b] | -5.56 | -5.58 | -4.12 | -4.12 | Â | 0.09 | Â | -3.94 | -5.41 |
| Â Â Trade balance, % GDP [c] | -9.02 | -9 | -7.47 | -6.68 | Â | 0.29 | Â | -8.36 | -9.09 |
| Â Â Trade balance, diff. oya [d] | -2.51 | -0.96 | 1.14 | 2.34 | Â | -0.82 | Â | -0.23 | -0.23 |
|   Excess GDP growth vs. US, % [e] | 4.87 | -1.45 | -1.45 | -1.45 |  | 0.14 |  | 2.96 | 4.29 |
|   Excess GDP growth vs. potential, % [f] | 3.19 | -2.37 | -2.37 | -2.37 |  | -0.36 |  | 0.87 | 2.13 |
| Carry and monetary policy | |||||||||
| Â Â Market-implied 3M FX carry, % [g] | 10 | 10 | 10 | 10 | Â | 1.76 | Â | 9.52 | 7.91 |
| Â Â Interest rates differentials, % [h] | 13.27 | 25.56 | 22.08 | 21.85 | Â | 4.32 | Â | 17.62 | 10.11 |
| Â Â Real 3M FX carry, % [i] | 4.2 | 2.7 | 1.83 | 1.51 | Â | -0.02 | Â | 4.6 | 3.11 |
| Â Â Carry-to-vol ratio [j] | 0.89 | 0.26 | 0.59 | 0.86 | Â | 0.1 | Â | 0.76 | |
| Â Â Excess inflation, % [k] | 6.92 | 19.52 | 16.62 | 15.3 | Â | 2.06 | Â | 2.09 | 3.99 |
| Â Â Excess credit growth, %oya [l] | 1.98 | 1.68 | -10.51 | -9.3 | Â | 1.99 | Â | 21.25 | 9.33 |
| Â Â Excess M1 growth, %oya [m] | -1.52 | 2.54 | -10.02 | -8.7 | Â | 0.46 | Â | 19.72 | 4.8 |
| Market distress | |||||||||
| Â Â FX Fwd market, short-term vol., % [n] | 11.29 | 38.34 | 17.09 | 11.63 | Â | 7.73 | Â | 11.88 | |
| Â Â Volatility shock (ratio s-t/m-t) [o] | -0.18 | -0.27 | -0.49 | -0.42 | Â | -0.16 | Â | 0.01 | |
| Â Â Implied FX vol deviation, % [p] | -0.69 | -2.75 | -11.91 | -1.34 | Â | 0.08 | Â | 0.07 | 0.14 |
|
[a] Real effective exchange rate, % change versus previous 5-years moving average [b] Current account ratio, % of GDP, 12-month trailing [c] Trade balance ratio, % of GDP, 12-month trailing [d] Trade balance ratio, % of GDP, change over 12 months ago, in p.p. [e] GDP growth trend versus base country (US), 3-month average, %oya [f] GDP growth trend versus estimated potential (OECD), 3-month average, %oya [g] FX Forward implied 3-month carry, annualized, capped at 20% p.a. [h] Local 3-month nominal rate differentials over base currency (US), % [i] Real FX carry: forward-implied carry, minus inflation expectation differential to base country (US) [j] Carry-to-vol ratio (exponentially-weighted annualized std deviation of forwards returns) [k] Broad (50% headline/ 50% core) annual inflation over target, p.p. [l] Inflation-adjusted credit to private non-financial sector, growth in excess of real GDP growth, %oya [m] Inflation-adjusted M1 growth in excess of real GDP growth, %oya [n] Exponentially-weighted (11-day halftime) annualized volatility of FX forward returns, % [o] Ratio of 11-day to 22-day halftime exponentially-weighted volatility of FX forward returns, p.p. [p] ATM 1M implied FX options volatility, % deviation vs. past 3-month moving average |
|||||||||
| Israeli shekel : macro factors as of 2019-01-13 | |||||||||
| USDILS | comparison | historic averages | |||||||
|---|---|---|---|---|---|---|---|---|---|
| 12m ago | 3m ago | 1m ago | latest | Â | EMAVG group | Â | 2003-2009 | 2010-2019 | |
| Valuation/fundamental and competitiveness | |||||||||
|   Real FX vs. 5Y, % [a] | 4.28 | 2.33 | 0.37 | -1.25 |  | -2.99 |  | -5.12 | 3.41 |
| Â Â Current account balance, % of GDP [b] | 2.86 | 2.03 | 2.03 | 2.03 | Â | 0.09 | Â | 2.33 | 3.19 |
| Â Â Trade balance, % GDP [c] | -4.23 | -6.21 | -6.71 | -6.88 | Â | 0.29 | Â | -5.11 | -4.52 |
| Â Â Trade balance, diff. oya [d] | -0.2 | -2.33 | -2.58 | -2.65 | Â | -0.82 | Â | 0.12 | -0.17 |
|   Excess GDP growth vs. US, % [e] | 0.73 | -0.1 | -0.1 | -0.1 |  | 0.14 |  | 2.03 | 1.63 |
|   Excess GDP growth vs. potential, % [f] | -0.29 | -0.43 | -0.43 | -0.43 |  | -0.36 |  | 0.36 | 0.2 |
| Carry and monetary policy | |||||||||
| Â Â Market-implied 3M FX carry, % [g] | -1.47 | -2.67 | -2.76 | -2.81 | Â | 1.76 | Â | 1.34 | -0.12 |
| Â Â Interest rates differentials, % [h] | -1.59 | -2.28 | -2.46 | -2.52 | Â | 4.32 | Â | 1.54 | 0.32 |
| Â Â Real 3M FX carry, % [i] | -0.53 | -1.82 | -1.96 | -2.03 | Â | -0.02 | Â | 0.23 | |
| Â Â Carry-to-vol ratio [j] | -0.38 | -0.46 | -0.49 | -0.64 | Â | 0.1 | Â | -0.05 | |
| Â Â Excess inflation, % [k] | -1.6 | -0.8 | -0.8 | -0.8 | Â | 2.06 | Â | -0.26 | -0.91 |
| Â Â Excess credit growth, %oya [l] | -0.17 | 1.36 | 1.36 | 1.36 | Â | 1.99 | Â | -0.24 | -0.58 |
| Â Â Excess M1 growth, %oya [m] | 8.97 | 8.71 | 10.77 | 10.77 | Â | 0.46 | Â | 13.04 | 12.44 |
| Market distress | |||||||||
| Â Â FX Fwd market, short-term vol., % [n] | 3.83 | 5.73 | 5.59 | 4.39 | Â | 7.73 | Â | 6.29 | |
| Â Â Volatility shock (ratio s-t/m-t) [o] | -0.07 | 0.05 | 0.13 | -0.18 | Â | -0.16 | Â | 0 | |
| Â Â Implied FX vol deviation, % [p] | -0.36 | -0.22 | -0.27 | -0.26 | Â | 0.08 | Â | 0.03 | -0.07 |
|
[a] Real effective exchange rate, % change versus previous 5-years moving average [b] Current account ratio, % of GDP, 12-month trailing [c] Trade balance ratio, % of GDP, 12-month trailing [d] Trade balance ratio, % of GDP, change over 12 months ago, in p.p. [e] GDP growth trend versus base country (US), 3-month average, %oya [f] GDP growth trend versus estimated potential (OECD), 3-month average, %oya [g] FX Forward implied 3-month carry, annualized, capped at 20% p.a. [h] Local 3-month nominal rate differentials over base currency (US), % [i] Real FX carry: forward-implied carry, minus inflation expectation differential to base country (US) [j] Carry-to-vol ratio (exponentially-weighted annualized std deviation of forwards returns) [k] Broad (50% headline/ 50% core) annual inflation over target, p.p. [l] Inflation-adjusted credit to private non-financial sector, growth in excess of real GDP growth, %oya [m] Inflation-adjusted M1 growth in excess of real GDP growth, %oya [n] Exponentially-weighted (11-day halftime) annualized volatility of FX forward returns, % [o] Ratio of 11-day to 22-day halftime exponentially-weighted volatility of FX forward returns, p.p. [p] ATM 1M implied FX options volatility, % deviation vs. past 3-month moving average |
|||||||||
| Czech koruna : macro factors as of 2019-01-13 | |||||||||
| USDCZK | comparison | historic averages | |||||||
|---|---|---|---|---|---|---|---|---|---|
| 12m ago | 3m ago | 1m ago | latest | Â | EMAVG group | Â | 2003-2009 | 2010-2019 | |
| Valuation/fundamental and competitiveness | |||||||||
|   Real FX vs. 5Y, % [a] | 7.36 | 6.58 | 5.17 | 5.83 |  | -2.99 |  | 11.53 | -0.96 |
| Â Â Current account balance, % of GDP [b] | 0.87 | 0.41 | 0.41 | 0.41 | Â | 0.09 | Â | -3.49 | -0.6 |
| Â Â Trade balance, % GDP [c] | 8.68 | 7.53 | 7.69 | 7.69 | Â | 0.29 | Â | 0.52 | 7.53 |
| Â Â Trade balance, diff. oya [d] | -1.41 | -1.43 | -1.03 | -1.03 | Â | -0.82 | Â | 0.8 | 0.63 |
|   Excess GDP growth vs. US, % [e] | 2.58 | -0.65 | -0.65 | -0.65 |  | 0.14 |  | 1.88 | 0.03 |
|   Excess GDP growth vs. potential, % [f] | 2.34 | -0.29 | -0.29 | -0.29 |  | -0.36 |  | -0.23 | 0.65 |
| Carry and monetary policy | |||||||||
| Â Â Market-implied 3M FX carry, % [g] | -3.51 | -2 | -2.32 | -1.03 | Â | 1.76 | Â | -0.4 | -0.8 |
| Â Â Interest rates differentials, % [h] | -0.93 | -0.7 | -0.72 | -0.8 | Â | 4.32 | Â | -0.31 | 0.03 |
| Â Â Real 3M FX carry, % [i] | -3.77 | -1.97 | -2.2 | -0.88 | Â | -0.02 | Â | -0.64 | -0.5 |
| Â Â Carry-to-vol ratio [j] | -0.39 | -0.24 | -0.29 | -0.14 | Â | 0.1 | Â | -0.11 | |
| Â Â Excess inflation, % [k] | 0.36 | 0.33 | 0.02 | 0.02 | Â | 2.06 | Â | -0.67 | -0.45 |
| Â Â Excess credit growth, %oya [l] | -3.13 | 1.58 | 1.88 | 1.88 | Â | 1.99 | Â | 2.71 | 0.77 |
| Â Â Excess M1 growth, %oya [m] | 2.83 | -0.63 | 0.77 | 0.77 | Â | 0.46 | Â | 6.13 | 5.65 |
| Market distress | |||||||||
| Â Â FX Fwd market, short-term vol., % [n] | 9.04 | 8.22 | 7.86 | 7.13 | Â | 7.73 | Â | 9.97 | |
| Â Â Volatility shock (ratio s-t/m-t) [o] | 0.25 | -0.07 | 0.04 | -0.08 | Â | -0.16 | Â | 0 | |
| Â Â Implied FX vol deviation, % [p] | -0.33 | -0.96 | -0.6 | 0.53 | Â | 0.08 | Â | 0.08 | -0.13 |
|
[a] Real effective exchange rate, % change versus previous 5-years moving average [b] Current account ratio, % of GDP, 12-month trailing [c] Trade balance ratio, % of GDP, 12-month trailing [d] Trade balance ratio, % of GDP, change over 12 months ago, in p.p. [e] GDP growth trend versus base country (US), 3-month average, %oya [f] GDP growth trend versus estimated potential (OECD), 3-month average, %oya [g] FX Forward implied 3-month carry, annualized, capped at 20% p.a. [h] Local 3-month nominal rate differentials over base currency (US), % [i] Real FX carry: forward-implied carry, minus inflation expectation differential to base country (US) [j] Carry-to-vol ratio (exponentially-weighted annualized std deviation of forwards returns) [k] Broad (50% headline/ 50% core) annual inflation over target, p.p. [l] Inflation-adjusted credit to private non-financial sector, growth in excess of real GDP growth, %oya [m] Inflation-adjusted M1 growth in excess of real GDP growth, %oya [n] Exponentially-weighted (11-day halftime) annualized volatility of FX forward returns, % [o] Ratio of 11-day to 22-day halftime exponentially-weighted volatility of FX forward returns, p.p. [p] ATM 1M implied FX options volatility, % deviation vs. past 3-month moving average |
|||||||||
| Hungarian forint : macro factors as of 2019-01-13 | |||||||||
| USDHUF | comparison | historic averages | |||||||
|---|---|---|---|---|---|---|---|---|---|
| 12m ago | 3m ago | 1m ago | latest | Â | EMAVG group | Â | 2003-2009 | 2010-2019 | |
| Valuation/fundamental and competitiveness | |||||||||
|   Real FX vs. 5Y, % [a] | 0.59 | -1.08 | -1.79 | -0.81 |  | -2.99 |  | 9.39 | -3.45 |
| Â Â Current account balance, % of GDP [b] | 3.16 | 1.8 | 1.8 | 1.8 | Â | 0.09 | Â | -6.94 | 2.35 |
| Â Â Trade balance, % GDP [c] | 6.48 | 5.14 | 4.96 | 4.96 | Â | 0.29 | Â | -2.43 | 6.61 |
| Â Â Trade balance, diff. oya [d] | -2.09 | -1.77 | -1.65 | -1.65 | Â | -0.82 | Â | 0.89 | 0.48 |
|   Excess GDP growth vs. US, % [e] | 2 | 1.94 | 1.94 | 1.94 |  | 0.14 |  | -0.06 | 0.17 |
|   Excess GDP growth vs. potential, % [f] | 2.43 | 2.76 | 2.76 | 2.76 |  | -0.36 |  | -1.05 | 0.95 |
| Carry and monetary policy | |||||||||
| Â Â Market-implied 3M FX carry, % [g] | -2.06 | -2.59 | -2.86 | -2.58 | Â | 1.76 | Â | 5 | 1.56 |
| Â Â Interest rates differentials, % [h] | -1.66 | -2.23 | -2.61 | -2.68 | Â | 4.32 | Â | 5.53 | 2.39 |
| Â Â Real 3M FX carry, % [i] | -2.73 | -3.25 | -3.53 | -3.27 | Â | -0.02 | Â | 2.99 | 0.62 |
| Â Â Carry-to-vol ratio [j] | -0.32 | -0.31 | -0.31 | -0.33 | Â | 0.1 | Â | 0.08 | |
| Â Â Excess inflation, % [k] | -0.87 | 0.59 | 0.11 | 0.11 | Â | 2.06 | Â | 1.69 | -0.61 |
| Â Â Excess credit growth, %oya [l] | -9.12 | -2.39 | -1.91 | -1.91 | Â | 1.99 | Â | 12.16 | -5 |
| Â Â Excess M1 growth, %oya [m] | 12.12 | 9.56 | 7.32 | 7.32 | Â | 0.46 | Â | 2.9 | 10.33 |
| Market distress | |||||||||
| Â Â FX Fwd market, short-term vol., % [n] | 6.51 | 8.35 | 9.11 | 7.81 | Â | 7.73 | Â | 11.96 | |
| Â Â Volatility shock (ratio s-t/m-t) [o] | -0.19 | -0.22 | 0.16 | -0.1 | Â | -0.16 | Â | -0.01 | |
| Â Â Implied FX vol deviation, % [p] | -0.52 | -1.28 | -0.63 | 0.33 | Â | 0.08 | Â | 0.25 | -0.16 |
|
[a] Real effective exchange rate, % change versus previous 5-years moving average [b] Current account ratio, % of GDP, 12-month trailing [c] Trade balance ratio, % of GDP, 12-month trailing [d] Trade balance ratio, % of GDP, change over 12 months ago, in p.p. [e] GDP growth trend versus base country (US), 3-month average, %oya [f] GDP growth trend versus estimated potential (OECD), 3-month average, %oya [g] FX Forward implied 3-month carry, annualized, capped at 20% p.a. [h] Local 3-month nominal rate differentials over base currency (US), % [i] Real FX carry: forward-implied carry, minus inflation expectation differential to base country (US) [j] Carry-to-vol ratio (exponentially-weighted annualized std deviation of forwards returns) [k] Broad (50% headline/ 50% core) annual inflation over target, p.p. [l] Inflation-adjusted credit to private non-financial sector, growth in excess of real GDP growth, %oya [m] Inflation-adjusted M1 growth in excess of real GDP growth, %oya [n] Exponentially-weighted (11-day halftime) annualized volatility of FX forward returns, % [o] Ratio of 11-day to 22-day halftime exponentially-weighted volatility of FX forward returns, p.p. [p] ATM 1M implied FX options volatility, % deviation vs. past 3-month moving average |
|||||||||
| Polish zloty : macro factors as of 2019-01-13 | |||||||||
| USDPLN | comparison | historic averages | |||||||
|---|---|---|---|---|---|---|---|---|---|
| 12m ago | 3m ago | 1m ago | latest | Â | EMAVG group | Â | 2003-2009 | 2010-2019 | |
| Valuation/fundamental and competitiveness | |||||||||
|   Real FX vs. 5Y, % [a] | 2.27 | -0.04 | -0.78 | -0.98 |  | -2.99 |  | 2.42 | -3.5 |
| Â Â Current account balance, % of GDP [b] | 0.1 | -0.51 | -0.59 | -0.59 | Â | 0.09 | Â | -4.34 | -2.3 |
| Â Â Trade balance, % GDP [c] | 0.08 | -0.8 | -0.98 | -0.98 | Â | 0.29 | Â | -5.54 | -1.27 |
| Â Â Trade balance, diff. oya [d] | -1.05 | -1.34 | -1.53 | -1.53 | Â | -0.82 | Â | 0.25 | 0.54 |
|   Excess GDP growth vs. US, % [e] | 2.04 | 2.72 | 2.72 | 2.72 |  | 0.14 |  | 2.86 | 1.31 |
|   Excess GDP growth vs. potential, % [f] | 1.29 | 2.74 | 2.74 | 2.74 |  | -0.36 |  | 0.78 | 0.28 |
| Carry and monetary policy | |||||||||
| Â Â Market-implied 3M FX carry, % [g] | -0.32 | -0.84 | -1 | -0.85 | Â | 1.76 | Â | 2.08 | 1.73 |
| Â Â Interest rates differentials, % [h] | 0.03 | -0.68 | -1.02 | -1.09 | Â | 4.32 | Â | 2.33 | 2.15 |
| Â Â Real 3M FX carry, % [i] | -0.27 | -0.64 | -0.74 | -0.56 | Â | -0.02 | Â | 1.99 | 1.64 |
| Â Â Carry-to-vol ratio [j] | -0.05 | -0.1 | -0.12 | -0.11 | Â | 0.1 | Â | 0.15 | |
| Â Â Excess inflation, % [k] | -0.44 | -0.61 | -1.22 | -1.39 | Â | 2.06 | Â | -0.02 | -0.99 |
| Â Â Excess credit growth, %oya [l] | -5.86 | -3.04 | -2.43 | -2.26 | Â | 1.99 | Â | 7.87 | 1.39 |
| Â Â Excess M1 growth, %oya [m] | 4.6 | 4.31 | 4.49 | 4.66 | Â | 0.46 | Â | 9.38 | 5.97 |
| Market distress | |||||||||
| Â Â FX Fwd market, short-term vol., % [n] | 6.49 | 8.52 | 8.65 | 7.52 | Â | 7.73 | Â | 11.62 | |
| Â Â Volatility shock (ratio s-t/m-t) [o] | -0.23 | -0.21 | 0.02 | -0.12 | Â | -0.16 | Â | -0.01 | |
| Â Â Implied FX vol deviation, % [p] | -0.84 | -1.32 | -0.68 | 0.37 | Â | 0.08 | Â | 0.26 | -0.18 |
|
[a] Real effective exchange rate, % change versus previous 5-years moving average [b] Current account ratio, % of GDP, 12-month trailing [c] Trade balance ratio, % of GDP, 12-month trailing [d] Trade balance ratio, % of GDP, change over 12 months ago, in p.p. [e] GDP growth trend versus base country (US), 3-month average, %oya [f] GDP growth trend versus estimated potential (OECD), 3-month average, %oya [g] FX Forward implied 3-month carry, annualized, capped at 20% p.a. [h] Local 3-month nominal rate differentials over base currency (US), % [i] Real FX carry: forward-implied carry, minus inflation expectation differential to base country (US) [j] Carry-to-vol ratio (exponentially-weighted annualized std deviation of forwards returns) [k] Broad (50% headline/ 50% core) annual inflation over target, p.p. [l] Inflation-adjusted credit to private non-financial sector, growth in excess of real GDP growth, %oya [m] Inflation-adjusted M1 growth in excess of real GDP growth, %oya [n] Exponentially-weighted (11-day halftime) annualized volatility of FX forward returns, % [o] Ratio of 11-day to 22-day halftime exponentially-weighted volatility of FX forward returns, p.p. [p] ATM 1M implied FX options volatility, % deviation vs. past 3-month moving average |
|||||||||
| Romanian leu : macro factors as of 2019-01-13 | |||||||||
| USDRON | comparison | historic averages | |||||||
|---|---|---|---|---|---|---|---|---|---|
| 12m ago | 3m ago | 1m ago | latest | Â | EMAVG group | Â | 2003-2009 | 2010-2019 | |
| Valuation/fundamental and competitiveness | |||||||||
|   Real FX vs. 5Y, % [a] | -2.77 | 0.36 | -0.57 | -0.34 |  | -2.99 |  | 9.46 | -2.26 |
| Â Â Current account balance, % of GDP [b] | -3.15 | -4.08 | -4.33 | -4.33 | Â | 0.09 | Â | -8.79 | -3.09 |
| Â Â Trade balance, % GDP [c] | -5.24 | -5.35 | -5.79 | -5.79 | Â | 0.29 | Â | -9.82 | -4.33 |
| Â Â Trade balance, diff. oya [d] | -1.06 | -0.49 | -0.74 | -0.74 | Â | -0.82 | Â | -0.22 | 0.3 |
|   Excess GDP growth vs. US, % [e] | 4.25 | 1.35 | 1.35 | 1.35 |  | 0.14 |  | 3.5 | 0.74 |
|   Excess GDP growth vs. potential, % [f] | 3.38 | 0.9 | 0.9 | 0.9 |  | -0.36 |  | 0.55 | -0.96 |
| Carry and monetary policy | |||||||||
| Â Â Market-implied 3M FX carry, % [g] | 0.67 | 0.67 | 0.32 | 0.34 | Â | 1.76 | Â | 5.27 | 2.1 |
| Â Â Interest rates differentials, % [h] | 0.16 | 0.61 | 0.19 | 0.05 | Â | 4.32 | Â | 9.01 | 2.47 |
| Â Â Real 3M FX carry, % [i] | 0.68 | -0.35 | -0.72 | -0.71 | Â | -0.02 | Â | 5.89 | 1.33 |
| Â Â Carry-to-vol ratio [j] | 0.13 | 0.1 | 0.04 | 0.05 | Â | 0.1 | Â | 0.2 | |
| Â Â Excess inflation, % [k] | 0.82 | 2.53 | 0.93 | 0.93 | Â | 2.06 | Â | 1.28 | -0.04 |
| Â Â Excess credit growth, %oya [l] | -7.58 | -6.29 | -4.13 | -4.13 | Â | 1.99 | Â | -2.48 | -4.35 |
| Â Â Excess M1 growth, %oya [m] | 6.99 | 2.01 | 5.41 | 5.41 | Â | 0.46 | Â | 33.42 | 6.31 |
| Market distress | |||||||||
| Â Â FX Fwd market, short-term vol., % [n] | 5.03 | 6.82 | 7.36 | 6.62 | Â | 7.73 | Â | 9.14 | |
| Â Â Volatility shock (ratio s-t/m-t) [o] | -0.35 | -0.15 | 0.15 | -0.05 | Â | -0.16 | Â | -0.01 | |
| Â Â Implied FX vol deviation, % [p] | -0.11 | -0.27 | -0.38 | 0.18 | Â | 0.08 | Â | 0.14 | -0.15 |
|
[a] Real effective exchange rate, % change versus previous 5-years moving average [b] Current account ratio, % of GDP, 12-month trailing [c] Trade balance ratio, % of GDP, 12-month trailing [d] Trade balance ratio, % of GDP, change over 12 months ago, in p.p. [e] GDP growth trend versus base country (US), 3-month average, %oya [f] GDP growth trend versus estimated potential (OECD), 3-month average, %oya [g] FX Forward implied 3-month carry, annualized, capped at 20% p.a. [h] Local 3-month nominal rate differentials over base currency (US), % [i] Real FX carry: forward-implied carry, minus inflation expectation differential to base country (US) [j] Carry-to-vol ratio (exponentially-weighted annualized std deviation of forwards returns) [k] Broad (50% headline/ 50% core) annual inflation over target, p.p. [l] Inflation-adjusted credit to private non-financial sector, growth in excess of real GDP growth, %oya [m] Inflation-adjusted M1 growth in excess of real GDP growth, %oya [n] Exponentially-weighted (11-day halftime) annualized volatility of FX forward returns, % [o] Ratio of 11-day to 22-day halftime exponentially-weighted volatility of FX forward returns, p.p. [p] ATM 1M implied FX options volatility, % deviation vs. past 3-month moving average |
|||||||||
| Chinese renminbi : macro factors as of 2019-01-13 | |||||||||
| USDCNH | comparison | historic averages | |||||||
|---|---|---|---|---|---|---|---|---|---|
| 12m ago | 3m ago | 1m ago | latest | Â | EMAVG group | Â | 2003-2009 | 2010-2019 | |
| Valuation/fundamental and competitiveness | |||||||||
|   Real FX vs. 5Y, % [a] | 0.47 | -2.53 | -3.38 | -2.83 |  | -2.99 |  | 0.12 | 6.97 |
| Â Â Current account balance, % of GDP [b] | 1.34 | 0.42 | 0.42 | 0.42 | Â | 0.09 | Â | 6.11 | 2.22 |
| Â Â Trade balance, % GDP [c] | 3.42 | 2.58 | 2.61 | 2.61 | Â | 0.29 | Â | 4.39 | 3.34 |
| Â Â Trade balance, diff. oya [d] | -1.14 | -0.99 | -0.74 | -0.74 | Â | -0.82 | Â | 0.54 | -0.32 |
|   Excess GDP growth vs. US, % [e] | 4.28 | 3.45 | 3.45 | 3.45 |  | 0.14 |  | 9.33 | 5.57 |
|   Excess GDP growth vs. potential, % [f] | -1.32 | -1.12 | -1.12 | -1.12 |  | -0.36 |  | 1.71 | -1.47 |
| Carry and monetary policy | |||||||||
| Â Â Market-implied 3M FX carry, % [g] | 2.1 | 1.73 | 0.99 | 0.19 | Â | 1.76 | Â | 2.02 | |
| Â Â Interest rates differentials, % [h] | 3.22 | 0.44 | 0.38 | 0.55 | Â | 4.32 | Â | -0.12 | 3.33 |
| Â Â Real 3M FX carry, % [i] | 1.66 | 1.42 | 0.7 | -0.09 | Â | -0.02 | Â | 1.33 | |
| Â Â Carry-to-vol ratio [j] | 0.59 | 0.34 | 0.28 | 0.04 | Â | 0.1 | Â | 0.85 | |
| Â Â Excess inflation, % [k] | -1.3 | -0.69 | -0.91 | -1.21 | Â | 2.06 | Â | -0.36 | -0.44 |
| Â Â Excess credit growth, %oya [l] | 1.79 | 5.59 | 5.8 | 6.11 | Â | 1.99 | Â | 5.48 | 6.41 |
| Â Â Excess M1 growth, %oya [m] | 3.31 | -4.76 | -7.06 | -6.76 | Â | 0.46 | Â | 3.39 | 2.06 |
| Market distress | |||||||||
| Â Â FX Fwd market, short-term vol., % [n] | 3.59 | 5.16 | 3.54 | 4.35 | Â | 7.73 | Â | 3.09 | |
| Â Â Volatility shock (ratio s-t/m-t) [o] | -0.09 | -0.35 | -0.28 | 0.07 | Â | -0.16 | Â | 0.07 | |
| Â Â Implied FX vol deviation, % [p] | -0.22 | -1.73 | 1.29 | -0.33 | Â | 0.08 | Â | 0.08 | |
|
[a] Real effective exchange rate, % change versus previous 5-years moving average [b] Current account ratio, % of GDP, 12-month trailing [c] Trade balance ratio, % of GDP, 12-month trailing [d] Trade balance ratio, % of GDP, change over 12 months ago, in p.p. [e] GDP growth trend versus base country (US), 3-month average, %oya [f] GDP growth trend versus estimated potential (OECD), 3-month average, %oya [g] FX Forward implied 3-month carry, annualized, capped at 20% p.a. [h] Local 3-month nominal rate differentials over base currency (US), % [i] Real FX carry: forward-implied carry, minus inflation expectation differential to base country (US) [j] Carry-to-vol ratio (exponentially-weighted annualized std deviation of forwards returns) [k] Broad (50% headline/ 50% core) annual inflation over target, p.p. [l] Inflation-adjusted credit to private non-financial sector, growth in excess of real GDP growth, %oya [m] Inflation-adjusted M1 growth in excess of real GDP growth, %oya [n] Exponentially-weighted (11-day halftime) annualized volatility of FX forward returns, % [o] Ratio of 11-day to 22-day halftime exponentially-weighted volatility of FX forward returns, p.p. [p] ATM 1M implied FX options volatility, % deviation vs. past 3-month moving average |
|||||||||
| Indian rupee : macro factors as of 2019-01-13 | |||||||||
| USDINR | comparison | historic averages | |||||||
|---|---|---|---|---|---|---|---|---|---|
| 12m ago | 3m ago | 1m ago | latest | Â | EMAVG group | Â | 2003-2009 | 2010-2019 | |
| Valuation/fundamental and competitiveness | |||||||||
|   Real FX vs. 5Y, % [a] | 8.43 | -1.7 | 3.55 | 2.21 |  | -2.99 |  | 1.33 | 5.62 |
| Â Â Current account balance, % of GDP [b] | -1.56 | -2.31 | -2.31 | -2.31 | Â | 0.09 | Â | -0.59 | -2.4 |
| Â Â Trade balance, % GDP [c] | -6 | -6.76 | -6.91 | -6.91 | Â | 0.29 | Â | -5.53 | -7.36 |
| Â Â Trade balance, diff. oya [d] | -1.62 | -0.9 | -0.98 | -0.98 | Â | -0.82 | Â | -1.07 | 0.25 |
|   Excess GDP growth vs. US, % [e] | 4.5 | 4.1 | 4.1 | 4.1 |  | 0.14 |  | 6.03 | 5.09 |
|   Excess GDP growth vs. potential, % [f] | -0.13 | 0.18 | 0.18 | 0.18 |  | -0.36 |  | 1.02 | -0.41 |
| Carry and monetary policy | |||||||||
| Â Â Market-implied 3M FX carry, % [g] | 3.14 | 5.77 | 4.04 | 4.16 | Â | 1.76 | Â | 2.59 | 5.8 |
| Â Â Interest rates differentials, % [h] | 4.82 | 5.2 | 4.76 | 4.66 | Â | 4.32 | Â | 4.09 | 7.41 |
| Â Â Real 3M FX carry, % [i] | 1.2 | 3.4 | 1.72 | 1.9 | Â | -0.02 | Â | 1.89 | |
| Â Â Carry-to-vol ratio [j] | 0.92 | 0.77 | 0.47 | 0.45 | Â | 0.1 | Â | 1.03 | |
| Â Â Excess inflation, % [k] | 1.21 | -0.3 | -1.67 | -1.67 | Â | 2.06 | Â | 0.04 | 1.3 |
| Â Â Excess credit growth, %oya [l] | -3.66 | 1.81 | 3.18 | 3.18 | Â | 1.99 | Â | 7.85 | -1 |
| Â Â Excess M1 growth, %oya [m] | 32.52 | 3.77 | 6.72 | 4.15 | Â | 0.46 | Â | 2.81 | -3.08 |
| Market distress | |||||||||
| Â Â FX Fwd market, short-term vol., % [n] | 3.39 | 7.48 | 8.57 | 9.25 | Â | 7.73 | Â | 6.55 | |
| Â Â Volatility shock (ratio s-t/m-t) [o] | -0.23 | 0.21 | 0.32 | 0.14 | Â | -0.16 | Â | 0.02 | |
| Â Â Implied FX vol deviation, % [p] | -0.88 | 0.91 | 0.5 | 0.89 | Â | 0.08 | Â | 0.15 | -0.05 |
|
[a] Real effective exchange rate, % change versus previous 5-years moving average [b] Current account ratio, % of GDP, 12-month trailing [c] Trade balance ratio, % of GDP, 12-month trailing [d] Trade balance ratio, % of GDP, change over 12 months ago, in p.p. [e] GDP growth trend versus base country (US), 3-month average, %oya [f] GDP growth trend versus estimated potential (OECD), 3-month average, %oya [g] FX Forward implied 3-month carry, annualized, capped at 20% p.a. [h] Local 3-month nominal rate differentials over base currency (US), % [i] Real FX carry: forward-implied carry, minus inflation expectation differential to base country (US) [j] Carry-to-vol ratio (exponentially-weighted annualized std deviation of forwards returns) [k] Broad (50% headline/ 50% core) annual inflation over target, p.p. [l] Inflation-adjusted credit to private non-financial sector, growth in excess of real GDP growth, %oya [m] Inflation-adjusted M1 growth in excess of real GDP growth, %oya [n] Exponentially-weighted (11-day halftime) annualized volatility of FX forward returns, % [o] Ratio of 11-day to 22-day halftime exponentially-weighted volatility of FX forward returns, p.p. [p] ATM 1M implied FX options volatility, % deviation vs. past 3-month moving average |
|||||||||
| Indonesian rupiah : macro factors as of 2019-01-13 | |||||||||
| USDIDR | comparison | historic averages | |||||||
|---|---|---|---|---|---|---|---|---|---|
| 12m ago | 3m ago | 1m ago | latest | Â | EMAVG group | Â | 2003-2009 | 2010-2019 | |
| Valuation/fundamental and competitiveness | |||||||||
|   Real FX vs. 5Y, % [a] | -0.48 | -4.69 | 0.83 | -0.86 |  | -2.99 |  | 8.38 | -0.01 |
| Â Â Current account balance, % of GDP [b] | -1.7 | -2.72 | -2.72 | -2.72 | Â | 0.09 | Â | 1.63 | -1.58 |
| Â Â Trade balance, % GDP [c] | 1.17 | -0.26 | -0.74 | -0.74 | Â | 0.29 | Â | 7.95 | 1.04 |
| Â Â Trade balance, diff. oya [d] | 0.14 | -1.66 | -2.04 | -2.04 | Â | -0.82 | Â | -1.64 | -0.23 |
|   Excess GDP growth vs. US, % [e] | 2.71 | 2.17 | 2.17 | 2.17 |  | 0.14 |  | 3.89 | 3.23 |
|   Excess GDP growth vs. potential, % [f] | -0.31 | -0.07 | -0.07 | -0.07 |  | -0.36 |  | 0.8 | -0.22 |
| Carry and monetary policy | |||||||||
| Â Â Market-implied 3M FX carry, % [g] | 2.66 | 5.97 | 3.78 | 4.73 | Â | 1.76 | Â | 5.84 | 5.61 |
| Â Â Interest rates differentials, % [h] | 3.79 | 4.95 | 4.94 | 4.9 | Â | 4.32 | Â | 6.65 | 5.92 |
| Â Â Real 3M FX carry, % [i] | 0.92 | 4.56 | 2.42 | 3.38 | Â | -0.02 | Â | 0.5 | 3.02 |
| Â Â Carry-to-vol ratio [j] | 2.1 | 0.94 | 0.39 | 0.54 | Â | 0.1 | Â | 1.11 | |
| Â Â Excess inflation, % [k] | -0.39 | -1.12 | -0.77 | -0.87 | Â | 2.06 | Â | 1.95 | 0.52 |
| Â Â Excess credit growth, %oya [l] | -2.15 | 1.83 | 1.49 | 1.58 | Â | 1.99 | Â | 4.89 | 6 |
| Â Â Excess M1 growth, %oya [m] | 3.58 | 0.17 | -3.38 | -3.28 | Â | 0.46 | Â | 1.38 | 2.51 |
| Market distress | |||||||||
| Â Â FX Fwd market, short-term vol., % [n] | 1.27 | 6.34 | 9.61 | 8.77 | Â | 7.73 | Â | 6.04 | |
| Â Â Volatility shock (ratio s-t/m-t) [o] | -0.59 | 0.1 | 0.46 | -0.07 | Â | -0.16 | Â | 0.04 | |
| Â Â Implied FX vol deviation, % [p] | -1.48 | -0.37 | -0.18 | 0.51 | Â | 0.08 | Â | -0.13 | -0.07 |
|
[a] Real effective exchange rate, % change versus previous 5-years moving average [b] Current account ratio, % of GDP, 12-month trailing [c] Trade balance ratio, % of GDP, 12-month trailing [d] Trade balance ratio, % of GDP, change over 12 months ago, in p.p. [e] GDP growth trend versus base country (US), 3-month average, %oya [f] GDP growth trend versus estimated potential (OECD), 3-month average, %oya [g] FX Forward implied 3-month carry, annualized, capped at 20% p.a. [h] Local 3-month nominal rate differentials over base currency (US), % [i] Real FX carry: forward-implied carry, minus inflation expectation differential to base country (US) [j] Carry-to-vol ratio (exponentially-weighted annualized std deviation of forwards returns) [k] Broad (50% headline/ 50% core) annual inflation over target, p.p. [l] Inflation-adjusted credit to private non-financial sector, growth in excess of real GDP growth, %oya [m] Inflation-adjusted M1 growth in excess of real GDP growth, %oya [n] Exponentially-weighted (11-day halftime) annualized volatility of FX forward returns, % [o] Ratio of 11-day to 22-day halftime exponentially-weighted volatility of FX forward returns, p.p. [p] ATM 1M implied FX options volatility, % deviation vs. past 3-month moving average |
|||||||||
| Malaysian ringgit : macro factors as of 2019-01-13 | |||||||||
| USDMYR | comparison | historic averages | |||||||
|---|---|---|---|---|---|---|---|---|---|
| 12m ago | 3m ago | 1m ago | latest | Â | EMAVG group | Â | 2003-2009 | 2010-2019 | |
| Valuation/fundamental and competitiveness | |||||||||
|   Real FX vs. 5Y, % [a] | -3.94 | -3.08 | -2.61 | -2.07 |  | -2.99 |  | -1.44 | -2.38 |
| Â Â Current account balance, % of GDP [b] | 3 | 2.59 | 2.59 | 2.59 | Â | 0.09 | Â | 13.66 | 5.61 |
| Â Â Trade balance, % GDP [c] | 7.29 | 8.03 | 8.31 | 8.31 | Â | 0.29 | Â | 16.94 | 9.51 |
| Â Â Trade balance, diff. oya [d] | 0.14 | 0.53 | 0.88 | 0.88 | Â | -0.82 | Â | 0.55 | -1 |
|   Excess GDP growth vs. US, % [e] | 3.46 | 1.35 | 1.35 | 1.35 |  | 0.14 |  | 2.94 | 3.19 |
|   Excess GDP growth vs. potential, % [f] | 0.75 | -0.87 | -0.87 | -0.87 |  | -0.36 |  | -1.33 | 0.11 |
| Carry and monetary policy | |||||||||
| Â Â Market-implied 3M FX carry, % [g] | -0.23 | 0.31 | 0.66 | -0.24 | Â | 1.76 | Â | -0.74 | 1.62 |
| Â Â Interest rates differentials, % [h] | 1.75 | 1.29 | 0.95 | 0.88 | Â | 4.32 | Â | 0.23 | 2.66 |
| Â Â Real 3M FX carry, % [i] | -0.89 | 0.51 | 1.08 | 0.28 | Â | -0.02 | Â | -0.44 | 1.19 |
| Â Â Carry-to-vol ratio [j] | -0.05 | 0.13 | 0.22 | -0.06 | Â | 0.1 | Â | 0.32 | |
| Â Â Excess inflation, % [k] | 1.01 | -2.17 | -2.33 | -2.33 | Â | 2.06 | Â | -0.04 | -0.19 |
| Â Â Excess credit growth, %oya [l] | -2.88 | 2.6 | 2.77 | 2.77 | Â | 1.99 | Â | 0.23 | 1.22 |
| Â Â Excess M1 growth, %oya [m] | 1.58 | -0.55 | -1.2 | -1.2 | Â | 0.46 | Â | 5.09 | 1.63 |
| Market distress | |||||||||
| Â Â FX Fwd market, short-term vol., % [n] | 4.27 | 2.33 | 2.94 | 3.76 | Â | 7.73 | Â | 6.14 | |
| Â Â Volatility shock (ratio s-t/m-t) [o] | 0.02 | -0.15 | 0.28 | 0.34 | Â | -0.16 | Â | 0.01 | |
| Â Â Implied FX vol deviation, % [p] | -0.17 | -0.14 | 0.68 | 0.3 | Â | 0.08 | Â | 0.21 | -0.03 |
|
[a] Real effective exchange rate, % change versus previous 5-years moving average [b] Current account ratio, % of GDP, 12-month trailing [c] Trade balance ratio, % of GDP, 12-month trailing [d] Trade balance ratio, % of GDP, change over 12 months ago, in p.p. [e] GDP growth trend versus base country (US), 3-month average, %oya [f] GDP growth trend versus estimated potential (OECD), 3-month average, %oya [g] FX Forward implied 3-month carry, annualized, capped at 20% p.a. [h] Local 3-month nominal rate differentials over base currency (US), % [i] Real FX carry: forward-implied carry, minus inflation expectation differential to base country (US) [j] Carry-to-vol ratio (exponentially-weighted annualized std deviation of forwards returns) [k] Broad (50% headline/ 50% core) annual inflation over target, p.p. [l] Inflation-adjusted credit to private non-financial sector, growth in excess of real GDP growth, %oya [m] Inflation-adjusted M1 growth in excess of real GDP growth, %oya [n] Exponentially-weighted (11-day halftime) annualized volatility of FX forward returns, % [o] Ratio of 11-day to 22-day halftime exponentially-weighted volatility of FX forward returns, p.p. [p] ATM 1M implied FX options volatility, % deviation vs. past 3-month moving average |
|||||||||
| Thai baht : macro factors as of 2019-01-13 | |||||||||
| USDTHB | comparison | historic averages | |||||||
|---|---|---|---|---|---|---|---|---|---|
| 12m ago | 3m ago | 1m ago | latest | Â | EMAVG group | Â | 2003-2009 | 2010-2019 | |
| Valuation/fundamental and competitiveness | |||||||||
|   Real FX vs. 5Y, % [a] | 1.74 | 6.15 | 4.46 | 4.8 |  | -2.99 |  | 4.36 | 1.74 |
| Â Â Current account balance, % of GDP [b] | 11.01 | 7.67 | 7.67 | 7.67 | Â | 0.09 | Â | -1.02 | 5.1 |
| Â Â Trade balance, % GDP [c] | 3.31 | 0.94 | 0.23 | 0.23 | Â | 0.29 | Â | 1.61 | 0.56 |
| Â Â Trade balance, diff. oya [d] | -1.83 | -2.71 | -3.39 | -3.39 | Â | -0.82 | Â | 0.1 | -0.23 |
|   Excess GDP growth vs. US, % [e] | 1.52 | 0.34 | 0.34 | 0.34 |  | 0.14 |  | 2.41 | 1.51 |
|   Excess GDP growth vs. potential, % [f] | 1.22 | 0.43 | 0.43 | 0.43 |  | -0.36 |  | -0.86 | 0.11 |
| Carry and monetary policy | |||||||||
| Â Â Market-implied 3M FX carry, % [g] | -1.33 | -1.32 | -0.98 | -1.14 | Â | 1.76 | Â | 1.53 | 1.27 |
| Â Â Interest rates differentials, % [h] | -0.12 | -0.81 | -1.12 | -0.94 | Â | 4.32 | Â | 0.02 | 1.43 |
| Â Â Real 3M FX carry, % [i] | -0.89 | -0.9 | -0.54 | -0.69 | Â | -0.02 | Â | 1.79 | 1.39 |
| Â Â Carry-to-vol ratio [j] | -0.46 | -0.35 | -0.25 | -0.47 | Â | 0.1 | Â | 0.31 | |
| Â Â Excess inflation, % [k] | -1.88 | -1.7 | -1.81 | -1.82 | Â | 2.06 | Â | -0.6 | -0.86 |
| Â Â Excess credit growth, %oya [l] | -0.9 | 0.45 | 0.85 | 1.43 | Â | 1.99 | Â | -1.13 | 2.97 |
| Â Â Excess M1 growth, %oya [m] | 4.6 | -0.96 | -1.66 | -1.08 | Â | 0.46 | Â | 1.8 | 1.83 |
| Market distress | |||||||||
| Â Â FX Fwd market, short-term vol., % [n] | 2.89 | 3.8 | 3.91 | 2.43 | Â | 7.73 | Â | 4.47 | |
| Â Â Volatility shock (ratio s-t/m-t) [o] | -0.01 | -0.23 | -0.25 | -0.46 | Â | -0.16 | Â | 0.01 | |
| Â Â Implied FX vol deviation, % [p] | 0.23 | -1.11 | 0.2 | -0.18 | Â | 0.08 | Â | -0.01 | 0 |
|
[a] Real effective exchange rate, % change versus previous 5-years moving average [b] Current account ratio, % of GDP, 12-month trailing [c] Trade balance ratio, % of GDP, 12-month trailing [d] Trade balance ratio, % of GDP, change over 12 months ago, in p.p. [e] GDP growth trend versus base country (US), 3-month average, %oya [f] GDP growth trend versus estimated potential (OECD), 3-month average, %oya [g] FX Forward implied 3-month carry, annualized, capped at 20% p.a. [h] Local 3-month nominal rate differentials over base currency (US), % [i] Real FX carry: forward-implied carry, minus inflation expectation differential to base country (US) [j] Carry-to-vol ratio (exponentially-weighted annualized std deviation of forwards returns) [k] Broad (50% headline/ 50% core) annual inflation over target, p.p. [l] Inflation-adjusted credit to private non-financial sector, growth in excess of real GDP growth, %oya [m] Inflation-adjusted M1 growth in excess of real GDP growth, %oya [n] Exponentially-weighted (11-day halftime) annualized volatility of FX forward returns, % [o] Ratio of 11-day to 22-day halftime exponentially-weighted volatility of FX forward returns, p.p. [p] ATM 1M implied FX options volatility, % deviation vs. past 3-month moving average |
|||||||||
| Taiwanese dollar : macro factors as of 2019-01-13 | |||||||||
| USDTWD | comparison | historic averages | |||||||
|---|---|---|---|---|---|---|---|---|---|
| 12m ago | 3m ago | 1m ago | latest | Â | EMAVG group | Â | 2003-2009 | 2010-2019 | |
| Valuation/fundamental and competitiveness | |||||||||
|   Real FX vs. 5Y, % [a] | 4.04 | 3.88 | 2.81 | 2.6 |  | -2.99 |  | -6.74 | -0.3 |
| Â Â Current account balance, % of GDP [b] | 14.41 | 12.79 | 12.79 | 12.79 | Â | 0.09 | Â | 6.73 | 11.08 |
| Â Â Trade balance, % GDP [c] | 5.73 | 4.47 | 3.95 | 3.75 | Â | 0.29 | Â | 2.37 | 3.09 |
| Â Â Trade balance, diff. oya [d] | 0.64 | -0.74 | -1.6 | -1.99 | Â | -0.82 | Â | -0.36 | 0.24 |
|   Excess GDP growth vs. US, % [e] | 1.01 | -0.74 | -0.74 | -0.74 |  | 0.14 |  | 2.21 | 1.21 |
|   Excess GDP growth vs. potential, % [f] | 1.23 | 0.13 | 0.13 | 0.13 |  | -0.36 |  | -1.78 | -0.27 |
| Carry and monetary policy | |||||||||
| Â Â Market-implied 3M FX carry, % [g] | -4.35 | -2.8 | -3.37 | -2.43 | Â | 1.76 | Â | -2.31 | -1.61 |
| Â Â Interest rates differentials, % [h] | -1.04 | -1.74 | -2.07 | -2.14 | Â | 4.32 | Â | -1.94 | 0.06 |
| Â Â Real 3M FX carry, % [i] | -3.28 | -1.87 | -2.42 | -1.43 | Â | -0.02 | Â | -1.19 | -0.71 |
| Â Â Carry-to-vol ratio [j] | -2.12 | -1.17 | -1.1 | -0.99 | Â | 0.1 | Â | -0.48 | |
| Â Â Excess inflation, % [k] | 0.22 | 0.72 | -0.7 | -1.05 | Â | 2.06 | Â | 0.25 | 0.04 |
| Â Â Excess credit growth, %oya [l] | 0.06 | 1.99 | 3.25 | 3.61 | Â | 1.99 | Â | -0.2 | 0.23 |
| Â Â Excess M1 growth, %oya [m] | -1.21 | 1.46 | 2.86 | 3.22 | Â | 0.46 | Â | 3.94 | 2.43 |
| Market distress | |||||||||
| Â Â FX Fwd market, short-term vol., % [n] | 2.06 | 2.39 | 3.08 | 2.45 | Â | 7.73 | Â | 3.83 | |
| Â Â Volatility shock (ratio s-t/m-t) [o] | 0.05 | -0.22 | -0.16 | -0.29 | Â | -0.16 | Â | 0 | |
| Â Â Implied FX vol deviation, % [p] | 0.19 | -1.02 | 0.67 | 0.03 | Â | 0.08 | Â | 0.06 | -0.02 |
|
[a] Real effective exchange rate, % change versus previous 5-years moving average [b] Current account ratio, % of GDP, 12-month trailing [c] Trade balance ratio, % of GDP, 12-month trailing [d] Trade balance ratio, % of GDP, change over 12 months ago, in p.p. [e] GDP growth trend versus base country (US), 3-month average, %oya [f] GDP growth trend versus estimated potential (OECD), 3-month average, %oya [g] FX Forward implied 3-month carry, annualized, capped at 20% p.a. [h] Local 3-month nominal rate differentials over base currency (US), % [i] Real FX carry: forward-implied carry, minus inflation expectation differential to base country (US) [j] Carry-to-vol ratio (exponentially-weighted annualized std deviation of forwards returns) [k] Broad (50% headline/ 50% core) annual inflation over target, p.p. [l] Inflation-adjusted credit to private non-financial sector, growth in excess of real GDP growth, %oya [m] Inflation-adjusted M1 growth in excess of real GDP growth, %oya [n] Exponentially-weighted (11-day halftime) annualized volatility of FX forward returns, % [o] Ratio of 11-day to 22-day halftime exponentially-weighted volatility of FX forward returns, p.p. [p] ATM 1M implied FX options volatility, % deviation vs. past 3-month moving average |
|||||||||
| Korean won : macro factors as of 2019-01-13 | |||||||||
| USDKRW | comparison | historic averages | |||||||
|---|---|---|---|---|---|---|---|---|---|
| 12m ago | 3m ago | 1m ago | latest | Â | EMAVG group | Â | 2003-2009 | 2010-2019 | |
| Valuation/fundamental and competitiveness | |||||||||
|   Real FX vs. 5Y, % [a] | 5.31 | 4.47 | 3.08 | 1.9 |  | -2.99 |  | 1.64 | 0.82 |
| Â Â Current account balance, % of GDP [b] | 5.12 | 4.63 | 4.7 | 4.7 | Â | 0.09 | Â | 1.63 | 4.88 |
| Â Â Trade balance, % GDP [c] | 6.21 | 4.62 | 4.42 | 4.36 | Â | 0.29 | Â | 1.88 | 4.3 |
| Â Â Trade balance, diff. oya [d] | -0.09 | -1.84 | -1.92 | -1.85 | Â | -0.82 | Â | 0.02 | 0.38 |
|   Excess GDP growth vs. US, % [e] | 0.32 | -1.04 | -1.04 | -1.04 |  | 0.14 |  | 1.97 | 1.08 |
|   Excess GDP growth vs. potential, % [f] | -0.42 | -1.23 | -1.23 | -1.23 |  | -0.36 |  | -0.49 | -0.2 |
| Carry and monetary policy | |||||||||
| Â Â Market-implied 3M FX carry, % [g] | -0.54 | -0.93 | -1.34 | -1.12 | Â | 1.76 | Â | 0.37 | 1.1 |
| Â Â Interest rates differentials, % [h] | 0.01 | -0.69 | -0.89 | -0.91 | Â | 4.32 | Â | 0.8 | 1.61 |
| Â Â Real 3M FX carry, % [i] | -0.4 | -0.46 | -0.87 | -0.63 | Â | -0.02 | Â | -0.47 | 0.65 |
| Â Â Carry-to-vol ratio [j] | -0.11 | -0.16 | -0.2 | -0.18 | Â | 0.1 | Â | 0.16 | |
| Â Â Excess inflation, % [k] | -0.59 | 0.09 | 0.04 | -0.68 | Â | 2.06 | Â | 0.15 | -0.8 |
| Â Â Excess credit growth, %oya [l] | 1.4 | 1.81 | 1.86 | 2.58 | Â | 1.99 | Â | 2.57 | 0.9 |
| Â Â Excess M1 growth, %oya [m] | 2.63 | -2.11 | -2.03 | -1.32 | Â | 0.46 | Â | -1.97 | 4.77 |
| Market distress | |||||||||
| Â Â FX Fwd market, short-term vol., % [n] | 5.06 | 5.71 | 6.81 | 6.23 | Â | 7.73 | Â | 7.64 | |
| Â Â Volatility shock (ratio s-t/m-t) [o] | -0.26 | -0.12 | -0.05 | -0.12 | Â | -0.16 | Â | 0 | |
| Â Â Implied FX vol deviation, % [p] | -0.48 | -0.98 | 0.61 | 0.29 | Â | 0.08 | Â | 0.1 | -0.08 |
|
[a] Real effective exchange rate, % change versus previous 5-years moving average [b] Current account ratio, % of GDP, 12-month trailing [c] Trade balance ratio, % of GDP, 12-month trailing [d] Trade balance ratio, % of GDP, change over 12 months ago, in p.p. [e] GDP growth trend versus base country (US), 3-month average, %oya [f] GDP growth trend versus estimated potential (OECD), 3-month average, %oya [g] FX Forward implied 3-month carry, annualized, capped at 20% p.a. [h] Local 3-month nominal rate differentials over base currency (US), % [i] Real FX carry: forward-implied carry, minus inflation expectation differential to base country (US) [j] Carry-to-vol ratio (exponentially-weighted annualized std deviation of forwards returns) [k] Broad (50% headline/ 50% core) annual inflation over target, p.p. [l] Inflation-adjusted credit to private non-financial sector, growth in excess of real GDP growth, %oya [m] Inflation-adjusted M1 growth in excess of real GDP growth, %oya [n] Exponentially-weighted (11-day halftime) annualized volatility of FX forward returns, % [o] Ratio of 11-day to 22-day halftime exponentially-weighted volatility of FX forward returns, p.p. [p] ATM 1M implied FX options volatility, % deviation vs. past 3-month moving average |
|||||||||
| Philippine peso : macro factors as of 2019-01-13 | |||||||||
| USDPHP | comparison | historic averages | |||||||
|---|---|---|---|---|---|---|---|---|---|
| 12m ago | 3m ago | 1m ago | latest | Â | EMAVG group | Â | 2003-2009 | 2010-2019 | |
| Valuation/fundamental and competitiveness | |||||||||
|   Real FX vs. 5Y, % [a] | -5.75 | -5.45 | -1.69 | -2.74 |  | -2.99 |  | 3.07 | 3.44 |
| Â Â Current account balance, % of GDP [b] | -0.69 | -2.95 | -2.95 | -2.95 | Â | 0.09 | Â | 3.74 | 2.11 |
| Â Â Trade balance, % GDP [c] | -8.69 | -12.11 | -12.76 | -12.76 | Â | 0.29 | Â | -4.47 | -4.85 |
| Â Â Trade balance, diff. oya [d] | 0.07 | -4.12 | -4.47 | -4.47 | Â | -0.82 | Â | -0.19 | -0.81 |
|   Excess GDP growth vs. US, % [e] | 4.03 | 3.11 | 3.11 | 3.11 |  | 0.14 |  | 3.05 | 4.1 |
|   Excess GDP growth vs. potential, % [f] | 0.11 | -0.42 | -0.42 | -0.42 |  | -0.36 |  | 0.45 | 0.71 |
| Carry and monetary policy | |||||||||
| Â Â Market-implied 3M FX carry, % [g] | 0.79 | 3.84 | 1.77 | 2.48 | Â | 1.76 | Â | 3.89 | 1.7 |
| Â Â Interest rates differentials, % [h] | 1.57 | 2.47 | 2.52 | 3.07 | Â | 4.32 | Â | 3.46 | 1.63 |
| Â Â Real 3M FX carry, % [i] | 0.01 | 2.51 | 0.23 | 0.86 | Â | -0.02 | Â | 0.98 | |
| Â Â Carry-to-vol ratio [j] | 0.24 | 1 | 0.34 | 0.61 | Â | 0.1 | Â | 0.37 | |
| Â Â Excess inflation, % [k] | -0.09 | 3.7 | 3.03 | 2.13 | Â | 2.06 | Â | 0.88 | -0.51 |
| Â Â Excess credit growth, %oya [l] | 9.99 | 4.79 | 4.61 | 5.51 | Â | 1.99 | Â | -7.5 | 6.79 |
| Â Â Excess M1 growth, %oya [m] | 6.27 | -1.41 | -2.68 | -1.78 | Â | 0.46 | Â | 4.3 | 5.31 |
| Market distress | |||||||||
| Â Â FX Fwd market, short-term vol., % [n] | 3.32 | 3.83 | 5.22 | 4.08 | Â | 7.73 | Â | 4.75 | |
| Â Â Volatility shock (ratio s-t/m-t) [o] | -0.11 | 0.26 | 0.5 | -0.18 | Â | -0.16 | Â | 0 | |
| Â Â Implied FX vol deviation, % [p] | -0.62 | 0.37 | 0.38 | 0.06 | Â | 0.08 | Â | 0.05 | -0.09 |
|
[a] Real effective exchange rate, % change versus previous 5-years moving average [b] Current account ratio, % of GDP, 12-month trailing [c] Trade balance ratio, % of GDP, 12-month trailing [d] Trade balance ratio, % of GDP, change over 12 months ago, in p.p. [e] GDP growth trend versus base country (US), 3-month average, %oya [f] GDP growth trend versus estimated potential (OECD), 3-month average, %oya [g] FX Forward implied 3-month carry, annualized, capped at 20% p.a. [h] Local 3-month nominal rate differentials over base currency (US), % [i] Real FX carry: forward-implied carry, minus inflation expectation differential to base country (US) [j] Carry-to-vol ratio (exponentially-weighted annualized std deviation of forwards returns) [k] Broad (50% headline/ 50% core) annual inflation over target, p.p. [l] Inflation-adjusted credit to private non-financial sector, growth in excess of real GDP growth, %oya [m] Inflation-adjusted M1 growth in excess of real GDP growth, %oya [n] Exponentially-weighted (11-day halftime) annualized volatility of FX forward returns, % [o] Ratio of 11-day to 22-day halftime exponentially-weighted volatility of FX forward returns, p.p. [p] ATM 1M implied FX options volatility, % deviation vs. past 3-month moving average |
|||||||||
| Australian dollar : macro factors as of 2019-01-13 | |||||||||
| USDAUD | comparison | historic averages | |||||||
|---|---|---|---|---|---|---|---|---|---|
| 12m ago | 3m ago | 1m ago | latest | Â | DMAVG group | Â | 2003-2009 | 2010-2019 | |
| Valuation/fundamental and competitiveness | |||||||||
|   Real FX vs. 5Y, % [a] | -2.72 | -4.84 | -2.15 | -6.28 |  | -3.09 |  | 9.83 | 0.29 |
| Â Â Current account balance, % of GDP [b] | -2.59 | -2.59 | -2.59 | -2.59 | Â | 1.56 | Â | -5.61 | -3.55 |
| Â Â Trade balance, % GDP [c] | 0.7 | 1.69 | 1.8 | 1.8 | Â | 1.27 | Â | -1.56 | 0.75 |
| Â Â Trade balance, diff. oya [d] | 0.45 | 0.56 | 0.84 | 0.84 | Â | 0.1 | Â | 0.05 | 0.08 |
|   Excess GDP growth vs. US, % [e] | -0.09 | -0.24 | -0.24 | -0.24 |  | -1.23 |  | 1.33 | 0.46 |
|   Excess GDP growth vs. potential, % [f] | -0.17 | 0.4 | 0.4 | 0.4 |  | -0.08 |  | -0.11 | -0.12 |
| Carry and monetary policy | |||||||||
| Â Â Market-implied 3M FX carry, % [g] | 0.11 | -0.21 | -0.57 | -0.51 | Â | -1.91 | Â | 2.64 | 2.31 |
| Â Â Interest rates differentials, % [h] | 0.1 | -0.46 | -0.79 | -0.72 | Â | -2 | Â | 2.68 | 2.26 |
| Â Â Real 3M FX carry, % [i] | -0.06 | -0.27 | -0.57 | -0.48 | Â | -1.6 | Â | 2.16 | 1.82 |
| Â Â Carry-to-vol ratio [j] | 0.02 | -0.03 | -0.06 | -0.07 | Â | -0.25 | Â | 0.23 | |
| Â Â Excess inflation, % [k] | -0.59 | -0.61 | -0.61 | -0.61 | Â | -0.21 | Â | 0.33 | -0.32 |
| Â Â Excess credit growth, %oya [l] | -1.31 | -1.14 | -1.14 | -1.14 | Â | 0.61 | Â | 5.61 | 0.08 |
| Â Â Excess M1 growth, %oya [m] | 1.09 | -3.8 | -5.54 | -5.54 | Â | 1.93 | Â | 1.04 | -0.16 |
| Market distress | |||||||||
| Â Â FX Fwd market, short-term vol., % [n] | 5.74 | 8.28 | 9.22 | 7.71 | Â | 7.59 | Â | 9.7 | |
| Â Â Volatility shock (ratio s-t/m-t) [o] | -0.12 | -0.13 | 0.15 | -0.16 | Â | 0.02 | Â | -0.01 | |
| Â Â Implied FX vol deviation, % [p] | -0.94 | -0.46 | 0.35 | 1.2 | Â | 1.13 | Â | 0.16 | -0.1 |
|
[a] Real effective exchange rate, % change versus previous 5-years moving average [b] Current account ratio, % of GDP, 12-month trailing [c] Trade balance ratio, % of GDP, 12-month trailing [d] Trade balance ratio, % of GDP, change over 12 months ago, in p.p. [e] GDP growth trend versus base country (US), 3-month average, %oya [f] GDP growth trend versus estimated potential (OECD), 3-month average, %oya [g] FX Forward implied 3-month carry, annualized, capped at 20% p.a. [h] Local 3-month nominal rate differentials over base currency (US), % [i] Real FX carry: forward-implied carry, minus inflation expectation differential to base country (US) [j] Carry-to-vol ratio (exponentially-weighted annualized std deviation of forwards returns) [k] Broad (50% headline/ 50% core) annual inflation over target, p.p. [l] Inflation-adjusted credit to private non-financial sector, growth in excess of real GDP growth, %oya [m] Inflation-adjusted M1 growth in excess of real GDP growth, %oya [n] Exponentially-weighted (11-day halftime) annualized volatility of FX forward returns, % [o] Ratio of 11-day to 22-day halftime exponentially-weighted volatility of FX forward returns, p.p. [p] ATM 1M implied FX options volatility, % deviation vs. past 3-month moving average |
|||||||||
| Canadian dollar : macro factors as of 2019-01-13 | |||||||||
| USDCAD | comparison | historic averages | |||||||
|---|---|---|---|---|---|---|---|---|---|
| 12m ago | 3m ago | 1m ago | latest | Â | DMAVG group | Â | 2003-2009 | 2010-2019 | |
| Valuation/fundamental and competitiveness | |||||||||
|   Real FX vs. 5Y, % [a] | -3.26 | -2.06 | -3.71 | -6.7 |  | -3.09 |  | 8.79 | -3.71 |
| Â Â Current account balance, % of GDP [b] | -2.81 | -2.73 | -2.73 | -2.73 | Â | 1.56 | Â | 0.96 | -3.14 |
| Â Â Trade balance, % GDP [c] | -1.16 | -1.06 | -0.99 | -0.99 | Â | 1.27 | Â | 3.44 | -0.65 |
| Â Â Trade balance, diff. oya [d] | 0.11 | -0.22 | 0.03 | 0.03 | Â | 0.1 | Â | -0.62 | -0.23 |
|   Excess GDP growth vs. US, % [e] | 0.4 | -0.94 | -0.94 | -0.94 |  | -1.23 |  | -0.2 | -0.02 |
|   Excess GDP growth vs. potential, % [f] | 1.06 | 0.34 | 0.34 | 0.34 |  | -0.08 |  | -0.94 | 0.24 |
| Carry and monetary policy | |||||||||
| Â Â Market-implied 3M FX carry, % [g] | -0.56 | -0.66 | -0.76 | -0.79 | Â | -1.91 | Â | 0.05 | 0.31 |
| Â Â Interest rates differentials, % [h] | -0.15 | -0.38 | -0.49 | -0.5 | Â | -2 | Â | 0.04 | 0.51 |
| Â Â Real 3M FX carry, % [i] | -0.37 | -0.55 | -0.65 | -0.67 | Â | -1.6 | Â | 0.28 | 0.4 |
| Â Â Carry-to-vol ratio [j] | -0.08 | -0.09 | -0.14 | -0.15 | Â | -0.25 | Â | 0.05 | |
| Â Â Excess inflation, % [k] | -0.13 | 0.22 | -0.32 | -0.32 | Â | -0.21 | Â | -0.05 | -0.28 |
| Â Â Excess credit growth, %oya [l] | 1.85 | 0.83 | 1.37 | 1.37 | Â | 0.61 | Â | 3.09 | 1.95 |
| Â Â Excess M1 growth, %oya [m] | 2.84 | 0.42 | 1.01 | 1.01 | Â | 1.93 | Â | 4.57 | 4.42 |
| Market distress | |||||||||
| Â Â FX Fwd market, short-term vol., % [n] | 6.71 | 7.12 | 5.4 | 5.25 | Â | 7.59 | Â | 7.48 | |
| Â Â Volatility shock (ratio s-t/m-t) [o] | 0.03 | 0.06 | -0.12 | -0.1 | Â | 0.02 | Â | 0 | |
| Â Â Implied FX vol deviation, % [p] | 0.21 | -0.26 | -0.28 | 1.14 | Â | 1.13 | Â | 0.18 | -0.12 |
|
[a] Real effective exchange rate, % change versus previous 5-years moving average [b] Current account ratio, % of GDP, 12-month trailing [c] Trade balance ratio, % of GDP, 12-month trailing [d] Trade balance ratio, % of GDP, change over 12 months ago, in p.p. [e] GDP growth trend versus base country (US), 3-month average, %oya [f] GDP growth trend versus estimated potential (OECD), 3-month average, %oya [g] FX Forward implied 3-month carry, annualized, capped at 20% p.a. [h] Local 3-month nominal rate differentials over base currency (US), % [i] Real FX carry: forward-implied carry, minus inflation expectation differential to base country (US) [j] Carry-to-vol ratio (exponentially-weighted annualized std deviation of forwards returns) [k] Broad (50% headline/ 50% core) annual inflation over target, p.p. [l] Inflation-adjusted credit to private non-financial sector, growth in excess of real GDP growth, %oya [m] Inflation-adjusted M1 growth in excess of real GDP growth, %oya [n] Exponentially-weighted (11-day halftime) annualized volatility of FX forward returns, % [o] Ratio of 11-day to 22-day halftime exponentially-weighted volatility of FX forward returns, p.p. [p] ATM 1M implied FX options volatility, % deviation vs. past 3-month moving average |
|||||||||
| Swiss franc : macro factors as of 2019-01-13 | |||||||||
| USDCHF | comparison | historic averages | |||||||
|---|---|---|---|---|---|---|---|---|---|
| 12m ago | 3m ago | 1m ago | latest | Â | DMAVG group | Â | 2003-2009 | 2010-2019 | |
| Valuation/fundamental and competitiveness | |||||||||
|   Real FX vs. 5Y, % [a] | -3.9 | -1.06 | -1.92 | -1.73 |  | -3.09 |  | -0.98 | 3.53 |
| Â Â Current account balance, % of GDP [b] | 6.68 | 9.97 | 9.97 | 9.97 | Â | 1.56 | Â | 10.65 | 10.09 |
| Â Â Trade balance, % GDP [c] | 5.2 | 4.13 | 4.61 | 4.61 | Â | 1.27 | Â | 2.22 | 4.38 |
| Â Â Trade balance, diff. oya [d] | -0.39 | -1.28 | -0.62 | -0.62 | Â | 0.1 | Â | 0.32 | 0.14 |
|   Excess GDP growth vs. US, % [e] | 0.17 | -0.85 | -0.85 | -0.85 |  | -1.23 |  | 0.24 | -0.32 |
|   Excess GDP growth vs. potential, % [f] | 1.07 | 0.65 | 0.65 | 0.65 |  | -0.08 |  | -0.11 | 0.13 |
| Carry and monetary policy | |||||||||
| Â Â Market-implied 3M FX carry, % [g] | -2.92 | -3.28 | -3.59 | -3.36 | Â | -1.91 | Â | -1.71 | -1.25 |
| Â Â Interest rates differentials, % [h] | -2.44 | -3.13 | -3.47 | -3.52 | Â | -2 | Â | -1.69 | -0.99 |
| Â Â Real 3M FX carry, % [i] | -1.88 | -2.27 | -2.55 | -2.31 | Â | -1.6 | Â | -0.7 | -0.09 |
| Â Â Carry-to-vol ratio [j] | -0.47 | -0.42 | -0.74 | -0.48 | Â | -0.25 | Â | -0.18 | |
| Â Â Excess inflation, % [k] | -0.66 | -0.51 | -0.58 | -0.81 | Â | -0.21 | Â | -0.59 | -1.51 |
| Â Â Excess credit growth, %oya [l] | 1.88 | 2.42 | 2.49 | 2.72 | Â | 0.61 | Â | 1.71 | 1.92 |
| Â Â Excess M1 growth, %oya [m] | 3.68 | 1.68 | 1.97 | 2.2 | Â | 1.93 | Â | 5.86 | 4.45 |
| Market distress | |||||||||
| Â Â FX Fwd market, short-term vol., % [n] | 6.19 | 7.84 | 4.88 | 7.03 | Â | 7.59 | Â | 9.32 | |
| Â Â Volatility shock (ratio s-t/m-t) [o] | -0.05 | 0.52 | -0.17 | 0.28 | Â | 0.02 | Â | 0.04 | |
| Â Â Implied FX vol deviation, % [p] | -0.35 | 0.57 | -0.44 | 0.82 | Â | 1.13 | Â | 0.03 | -0.08 |
|
[a] Real effective exchange rate, % change versus previous 5-years moving average [b] Current account ratio, % of GDP, 12-month trailing [c] Trade balance ratio, % of GDP, 12-month trailing [d] Trade balance ratio, % of GDP, change over 12 months ago, in p.p. [e] GDP growth trend versus base country (US), 3-month average, %oya [f] GDP growth trend versus estimated potential (OECD), 3-month average, %oya [g] FX Forward implied 3-month carry, annualized, capped at 20% p.a. [h] Local 3-month nominal rate differentials over base currency (US), % [i] Real FX carry: forward-implied carry, minus inflation expectation differential to base country (US) [j] Carry-to-vol ratio (exponentially-weighted annualized std deviation of forwards returns) [k] Broad (50% headline/ 50% core) annual inflation over target, p.p. [l] Inflation-adjusted credit to private non-financial sector, growth in excess of real GDP growth, %oya [m] Inflation-adjusted M1 growth in excess of real GDP growth, %oya [n] Exponentially-weighted (11-day halftime) annualized volatility of FX forward returns, % [o] Ratio of 11-day to 22-day halftime exponentially-weighted volatility of FX forward returns, p.p. [p] ATM 1M implied FX options volatility, % deviation vs. past 3-month moving average |
|||||||||
| Euro : macro factors as of 2019-01-13 | |||||||||
| USDEUR | comparison | historic averages | |||||||
|---|---|---|---|---|---|---|---|---|---|
| 12m ago | 3m ago | 1m ago | latest | Â | DMAVG group | Â | 2003-2009 | 2010-2019 | |
| Valuation/fundamental and competitiveness | |||||||||
|   Real FX vs. 5Y, % [a] | 1.47 | 3.02 | 1.47 | 2.06 |  | -3.09 |  | 5.83 | -4.12 |
| Â Â Current account balance, % of GDP [b] | 3.29 | 3.27 | 3.16 | 3.16 | Â | 1.56 | Â | -0.08 | 1.9 |
| Â Â Trade balance, % GDP [c] | 2.11 | 1.81 | 1.77 | 1.77 | Â | 1.27 | Â | 0.12 | 1.29 |
| Â Â Trade balance, diff. oya [d] | -0.35 | -0.35 | -0.36 | -0.36 | Â | 0.1 | Â | -0.18 | 0.25 |
|   Excess GDP growth vs. US, % [e] | 0.23 | -1.38 | -1.38 | -1.38 |  | -1.23 |  | -0.77 | -0.86 |
|   Excess GDP growth vs. potential, % [f] | 1.39 | 0.36 | 0.36 | 0.36 |  | -0.08 |  | -0.67 | 0.39 |
| Carry and monetary policy | |||||||||
| Â Â Market-implied 3M FX carry, % [g] | -2.47 | -2.89 | -3.17 | -3 | Â | -1.91 | Â | -0.2 | -0.75 |
| Â Â Interest rates differentials, % [h] | -2.08 | -2.75 | -3.1 | -3.16 | Â | -2 | Â | -0.1 | -0.5 |
| Â Â Real 3M FX carry, % [i] | -1.98 | -2.3 | -2.57 | -2.41 | Â | -1.6 | Â | 0.13 | -0.36 |
| Â Â Carry-to-vol ratio [j] | -0.45 | -0.41 | -0.42 | -0.48 | Â | -0.25 | Â | -0.11 | |
| Â Â Excess inflation, % [k] | -0.4 | 0.32 | 0.2 | -0.17 | Â | -0.21 | Â | 0.29 | -0.4 |
| Â Â Excess credit growth, %oya [l] | -2.64 | -1.63 | -1.51 | -1.15 | Â | 0.61 | Â | 3.35 | -0.42 |
| Â Â Excess M1 growth, %oya [m] | 4.19 | 3.29 | 3.36 | 3.73 | Â | 1.93 | Â | 6.23 | 4.52 |
| Market distress | |||||||||
| Â Â FX Fwd market, short-term vol., % [n] | 5.46 | 7.07 | 7.57 | 6.22 | Â | 7.59 | Â | 8.32 | |
| Â Â Volatility shock (ratio s-t/m-t) [o] | -0.23 | -0.04 | 0.19 | -0.13 | Â | 0.02 | Â | -0.01 | |
| Â Â Implied FX vol deviation, % [p] | -0.38 | -0.05 | -0.23 | 0.2 | Â | 1.13 | Â | 0.05 | -0.07 |
|
[a] Real effective exchange rate, % change versus previous 5-years moving average [b] Current account ratio, % of GDP, 12-month trailing [c] Trade balance ratio, % of GDP, 12-month trailing [d] Trade balance ratio, % of GDP, change over 12 months ago, in p.p. [e] GDP growth trend versus base country (US), 3-month average, %oya [f] GDP growth trend versus estimated potential (OECD), 3-month average, %oya [g] FX Forward implied 3-month carry, annualized, capped at 20% p.a. [h] Local 3-month nominal rate differentials over base currency (US), % [i] Real FX carry: forward-implied carry, minus inflation expectation differential to base country (US) [j] Carry-to-vol ratio (exponentially-weighted annualized std deviation of forwards returns) [k] Broad (50% headline/ 50% core) annual inflation over target, p.p. [l] Inflation-adjusted credit to private non-financial sector, growth in excess of real GDP growth, %oya [m] Inflation-adjusted M1 growth in excess of real GDP growth, %oya [n] Exponentially-weighted (11-day halftime) annualized volatility of FX forward returns, % [o] Ratio of 11-day to 22-day halftime exponentially-weighted volatility of FX forward returns, p.p. [p] ATM 1M implied FX options volatility, % deviation vs. past 3-month moving average |
|||||||||
| British pound : macro factors as of 2019-01-13 | |||||||||
| USDGBP | comparison | historic averages | |||||||
|---|---|---|---|---|---|---|---|---|---|
| 12m ago | 3m ago | 1m ago | latest | Â | DMAVG group | Â | 2003-2009 | 2010-2019 | |
| Valuation/fundamental and competitiveness | |||||||||
|   Real FX vs. 5Y, % [a] | -6.57 | -5.95 | -6.08 | -6.58 |  | -3.09 |  | -4.95 | -2.7 |
| Â Â Current account balance, % of GDP [b] | -3.33 | -3.84 | -3.84 | -3.84 | Â | 1.56 | Â | -2.89 | -4.03 |
| Â Â Trade balance, % GDP [c] | -1.16 | -1.22 | -1.35 | -1.35 | Â | 1.27 | Â | -2.41 | -1.53 |
| Â Â Trade balance, diff. oya [d] | 0.4 | -0.08 | -0.16 | -0.16 | Â | 0.1 | Â | 0.09 | 0.09 |
|   Excess GDP growth vs. US, % [e] | -0.86 | -1.5 | -1.5 | -1.5 |  | -1.23 |  | -0.41 | -0.34 |
|   Excess GDP growth vs. potential, % [f] | -0.03 | -0.01 | -0.01 | -0.01 |  | -0.08 |  | -0.78 | 0.54 |
| Carry and monetary policy | |||||||||
| Â Â Market-implied 3M FX carry, % [g] | -1.41 | -1.64 | -1.82 | -1.73 | Â | -1.91 | Â | 1.27 | -0.19 |
| Â Â Interest rates differentials, % [h] | -1.17 | -1.6 | -1.84 | -1.9 | Â | -2 | Â | 1.46 | -0.08 |
| Â Â Real 3M FX carry, % [i] | -1.68 | -1.76 | -1.85 | -1.73 | Â | -1.6 | Â | 1.53 | -0.43 |
| Â Â Carry-to-vol ratio [j] | -0.24 | -0.18 | -0.18 | -0.22 | Â | -0.25 | Â | -0.02 | |
| Â Â Excess inflation, % [k] | 0.97 | 0.42 | 0.31 | 0.31 | Â | -0.21 | Â | 0.09 | 0.28 |
| Â Â Excess credit growth, %oya [l] | -0.74 | 1.05 | 1.16 | 1.16 | Â | 0.61 | Â | 4 | -2.16 |
| Â Â Excess M1 growth, %oya [m] | 0.31 | -0.4 | 0.78 | 0.78 | Â | 1.93 | Â | 6.84 | 1.87 |
| Market distress | |||||||||
| Â Â FX Fwd market, short-term vol., % [n] | 5.96 | 8.98 | 10.15 | 7.79 | Â | 7.59 | Â | 8 | |
| Â Â Volatility shock (ratio s-t/m-t) [o] | -0.25 | 0.23 | 0.25 | -0.22 | Â | 0.02 | Â | 0.01 | |
| Â Â Implied FX vol deviation, % [p] | -1.48 | 1.58 | 4.33 | 2.27 | Â | 1.13 | Â | 0.11 | 0.01 |
|
[a] Real effective exchange rate, % change versus previous 5-years moving average [b] Current account ratio, % of GDP, 12-month trailing [c] Trade balance ratio, % of GDP, 12-month trailing [d] Trade balance ratio, % of GDP, change over 12 months ago, in p.p. [e] GDP growth trend versus base country (US), 3-month average, %oya [f] GDP growth trend versus estimated potential (OECD), 3-month average, %oya [g] FX Forward implied 3-month carry, annualized, capped at 20% p.a. [h] Local 3-month nominal rate differentials over base currency (US), % [i] Real FX carry: forward-implied carry, minus inflation expectation differential to base country (US) [j] Carry-to-vol ratio (exponentially-weighted annualized std deviation of forwards returns) [k] Broad (50% headline/ 50% core) annual inflation over target, p.p. [l] Inflation-adjusted credit to private non-financial sector, growth in excess of real GDP growth, %oya [m] Inflation-adjusted M1 growth in excess of real GDP growth, %oya [n] Exponentially-weighted (11-day halftime) annualized volatility of FX forward returns, % [o] Ratio of 11-day to 22-day halftime exponentially-weighted volatility of FX forward returns, p.p. [p] ATM 1M implied FX options volatility, % deviation vs. past 3-month moving average |
|||||||||
| Japanese yen : macro factors as of 2019-01-13 | |||||||||
| USDJPY | comparison | historic averages | |||||||
|---|---|---|---|---|---|---|---|---|---|
| 12m ago | 3m ago | 1m ago | latest | Â | DMAVG group | Â | 2003-2009 | 2010-2019 | |
| Valuation/fundamental and competitiveness | |||||||||
|   Real FX vs. 5Y, % [a] | -4.39 | -1.28 | 0.08 | 2.73 |  | -3.09 |  | -7.11 | -5.24 |
| Â Â Current account balance, % of GDP [b] | 4.04 | 3.82 | 3.56 | 3.56 | Â | 1.56 | Â | 3.47 | 2.58 |
| Â Â Trade balance, % GDP [c] | 0.54 | 0.15 | -0.13 | -0.13 | Â | 1.27 | Â | 1.55 | -0.46 |
| Â Â Trade balance, diff. oya [d] | -0.22 | -0.49 | -0.72 | -0.72 | Â | 0.1 | Â | -0.22 | 0.03 |
|   Excess GDP growth vs. US, % [e] | -0.12 | -3 | -3 | -3 |  | -1.23 |  | -1.46 | -0.86 |
|   Excess GDP growth vs. potential, % [f] | 1.23 | -1.2 | -1.2 | -1.2 |  | -0.08 |  | -0.36 | 0.72 |
| Carry and monetary policy | |||||||||
| Â Â Market-implied 3M FX carry, % [g] | -2.2 | -2.74 | -3.09 | -2.87 | Â | -1.91 | Â | -2.52 | -0.87 |
| Â Â Interest rates differentials, % [h] | -1.72 | -2.45 | -2.85 | -2.88 | Â | -2 | Â | -2.54 | -0.61 |
| Â Â Real 3M FX carry, % [i] | -1.36 | -1.94 | -2.3 | -2.07 | Â | -1.6 | Â | -0.81 | 0.04 |
| Â Â Carry-to-vol ratio [j] | -0.41 | -0.52 | -0.68 | -0.37 | Â | -0.25 | Â | -0.12 | |
| Â Â Excess inflation, % [k] | -0.9 | -0.81 | -1.11 | -1.11 | Â | -0.21 | Â | -1.03 | -1.18 |
| Â Â Excess credit growth, %oya [l] | -1.21 | 1.46 | 1.76 | 1.76 | Â | 0.61 | Â | -1.82 | -1.55 |
| Â Â Excess M1 growth, %oya [m] | 3.34 | 4.99 | 4.6 | 4.6 | Â | 1.93 | Â | 1.91 | 3.26 |
| Market distress | |||||||||
| Â Â FX Fwd market, short-term vol., % [n] | 5.42 | 5.23 | 4.54 | 7.69 | Â | 7.59 | Â | 8.56 | |
| Â Â Volatility shock (ratio s-t/m-t) [o] | -0.2 | -0.04 | -0.2 | 0.52 | Â | 0.02 | Â | 0.01 | |
| Â Â Implied FX vol deviation, % [p] | -2.08 | -0.61 | -0.24 | 2.14 | Â | 1.13 | Â | 0.1 | -0.11 |
|
[a] Real effective exchange rate, % change versus previous 5-years moving average [b] Current account ratio, % of GDP, 12-month trailing [c] Trade balance ratio, % of GDP, 12-month trailing [d] Trade balance ratio, % of GDP, change over 12 months ago, in p.p. [e] GDP growth trend versus base country (US), 3-month average, %oya [f] GDP growth trend versus estimated potential (OECD), 3-month average, %oya [g] FX Forward implied 3-month carry, annualized, capped at 20% p.a. [h] Local 3-month nominal rate differentials over base currency (US), % [i] Real FX carry: forward-implied carry, minus inflation expectation differential to base country (US) [j] Carry-to-vol ratio (exponentially-weighted annualized std deviation of forwards returns) [k] Broad (50% headline/ 50% core) annual inflation over target, p.p. [l] Inflation-adjusted credit to private non-financial sector, growth in excess of real GDP growth, %oya [m] Inflation-adjusted M1 growth in excess of real GDP growth, %oya [n] Exponentially-weighted (11-day halftime) annualized volatility of FX forward returns, % [o] Ratio of 11-day to 22-day halftime exponentially-weighted volatility of FX forward returns, p.p. [p] ATM 1M implied FX options volatility, % deviation vs. past 3-month moving average |
|||||||||
| Norwegian krone : macro factors as of 2019-01-13 | |||||||||
| USDNOK | comparison | historic averages | |||||||
|---|---|---|---|---|---|---|---|---|---|
| 12m ago | 3m ago | 1m ago | latest | Â | DMAVG group | Â | 2003-2009 | 2010-2019 | |
| Valuation/fundamental and competitiveness | |||||||||
|   Real FX vs. 5Y, % [a] | -7.57 | 0.75 | -2.28 | -4.23 |  | -3.09 |  | 0.84 | -3.9 |
| Â Â Current account balance, % of GDP [b] | 5.6 | 7.92 | 7.92 | 7.92 | Â | 1.56 | Â | 13.68 | 9.36 |
| Â Â Trade balance, % GDP [c] | 5.3 | 6.79 | 8.1 | 8.1 | Â | 1.27 | Â | 14.55 | 10.04 |
| Â Â Trade balance, diff. oya [d] | 1.4 | 0.98 | 2.86 | 2.86 | Â | 0.1 | Â | 0.16 | -0.93 |
|   Excess GDP growth vs. US, % [e] | -0.5 | -1.44 | -1.44 | -1.44 |  | -1.23 |  | -0.03 | -0.68 |
|   Excess GDP growth vs. potential, % [f] | -0.02 | -0.36 | -0.36 | -0.36 |  | -0.08 |  | -1.37 | -0.56 |
| Carry and monetary policy | |||||||||
| Â Â Market-implied 3M FX carry, % [g] | -1.22 | -1.45 | -1.64 | -1.55 | Â | -1.91 | Â | 0.47 | 0.72 |
| Â Â Interest rates differentials, % [h] | -0.88 | -1.3 | -1.52 | -1.54 | Â | -2 | Â | 0.65 | 1 |
| Â Â Real 3M FX carry, % [i] | -1.29 | -1.48 | -1.77 | -1.73 | Â | -1.6 | Â | 0.22 | 0.35 |
| Â Â Carry-to-vol ratio [j] | -0.15 | -0.21 | -0.19 | -0.18 | Â | -0.25 | Â | 0.06 | |
| Â Â Excess inflation, % [k] | -0.87 | 0.9 | 0.99 | 0.99 | Â | -0.21 | Â | -0.57 | -0.4 |
| Â Â Excess credit growth, %oya [l] | -1.1 | -3.48 | -3.57 | -3.57 | Â | 0.61 | Â | 7.59 | 0.73 |
| Â Â Excess M1 growth, %oya [m] | 1.94 | 3.92 | 2.82 | 2.82 | Â | 1.93 | Â | -1.57 | 11.14 |
| Market distress | |||||||||
| Â Â FX Fwd market, short-term vol., % [n] | 8.29 | 7.02 | 8.66 | 8.42 | Â | 7.59 | Â | 10.32 | |
| Â Â Volatility shock (ratio s-t/m-t) [o] | -0.05 | -0.12 | 0.22 | 0.04 | Â | 0.02 | Â | -0.01 | |
| Â Â Implied FX vol deviation, % [p] | 0.28 | -0.16 | -0.14 | 1.08 | Â | 1.13 | Â | 0.15 | -0.13 |
|
[a] Real effective exchange rate, % change versus previous 5-years moving average [b] Current account ratio, % of GDP, 12-month trailing [c] Trade balance ratio, % of GDP, 12-month trailing [d] Trade balance ratio, % of GDP, change over 12 months ago, in p.p. [e] GDP growth trend versus base country (US), 3-month average, %oya [f] GDP growth trend versus estimated potential (OECD), 3-month average, %oya [g] FX Forward implied 3-month carry, annualized, capped at 20% p.a. [h] Local 3-month nominal rate differentials over base currency (US), % [i] Real FX carry: forward-implied carry, minus inflation expectation differential to base country (US) [j] Carry-to-vol ratio (exponentially-weighted annualized std deviation of forwards returns) [k] Broad (50% headline/ 50% core) annual inflation over target, p.p. [l] Inflation-adjusted credit to private non-financial sector, growth in excess of real GDP growth, %oya [m] Inflation-adjusted M1 growth in excess of real GDP growth, %oya [n] Exponentially-weighted (11-day halftime) annualized volatility of FX forward returns, % [o] Ratio of 11-day to 22-day halftime exponentially-weighted volatility of FX forward returns, p.p. [p] ATM 1M implied FX options volatility, % deviation vs. past 3-month moving average |
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| New Zealand dollar : macro factors as of 2019-01-13 | |||||||||
| USDNZD | comparison | historic averages | |||||||
|---|---|---|---|---|---|---|---|---|---|
| 12m ago | 3m ago | 1m ago | latest | Â | DMAVG group | Â | 2003-2009 | 2010-2019 | |
| Valuation/fundamental and competitiveness | |||||||||
|   Real FX vs. 5Y, % [a] | -4.45 | -5.55 | 0.51 | -1.81 |  | -3.09 |  | 8.12 | 1.68 |
| Â Â Current account balance, % of GDP [b] | -2.93 | -3.53 | -3.53 | -3.53 | Â | 1.56 | Â | -5.42 | -2.91 |
| Â Â Trade balance, % GDP [c] | -1.02 | -1.77 | -1.77 | -1.77 | Â | 1.27 | Â | -2.77 | -0.55 |
| Â Â Trade balance, diff. oya [d] | 0.23 | -0.69 | -0.53 | -0.53 | Â | 0.1 | Â | -0.24 | 0.02 |
|   Excess GDP growth vs. US, % [e] | 0.9 | -0.4 | -0.4 | -0.4 |  | -1.23 |  | 0.71 | 0.57 |
|   Excess GDP growth vs. potential, % [f] | 0.31 | -0.46 | -0.46 | -0.46 |  | -0.08 |  | -0.73 | 0.35 |
| Carry and monetary policy | |||||||||
| Â Â Market-implied 3M FX carry, % [g] | 0.48 | -0.13 | -0.56 | -0.58 | Â | -1.91 | Â | 3.56 | 2.1 |
| Â Â Interest rates differentials, % [h] | 0.19 | -0.48 | -0.76 | -0.84 | Â | -2 | Â | 3.57 | 1.97 |
| Â Â Real 3M FX carry, % [i] | 0.57 | 0.19 | -0.26 | -0.3 | Â | -1.6 | Â | 3.39 | 2.15 |
| Â Â Carry-to-vol ratio [j] | 0.07 | -0.02 | -0.06 | -0.08 | Â | -0.25 | Â | 0.2 | |
| Â Â Excess inflation, % [k] | -0.38 | -0.11 | -0.11 | -0.11 | Â | -0.21 | Â | 0.7 | -0.43 |
| Â Â Excess credit growth, %oya [l] | -0.93 | 0.09 | 0.09 | 0.09 | Â | 0.61 | Â | 3.98 | -0.34 |
| Â Â Excess M1 growth, %oya [m] | 3.74 | 5.65 | 3.68 | 3.68 | Â | 1.93 | Â | 0.58 | 3.53 |
| Market distress | |||||||||
| Â Â FX Fwd market, short-term vol., % [n] | 7.13 | 7.96 | 9.89 | 7.4 | Â | 7.59 | Â | 10.57 | |
| Â Â Volatility shock (ratio s-t/m-t) [o] | -0.14 | -0.09 | 0.25 | -0.23 | Â | 0.02 | Â | -0.01 | |
| Â Â Implied FX vol deviation, % [p] | -0.92 | -0.79 | 0.3 | 1.27 | Â | 1.13 | Â | 0.17 | -0.14 |
|
[a] Real effective exchange rate, % change versus previous 5-years moving average [b] Current account ratio, % of GDP, 12-month trailing [c] Trade balance ratio, % of GDP, 12-month trailing [d] Trade balance ratio, % of GDP, change over 12 months ago, in p.p. [e] GDP growth trend versus base country (US), 3-month average, %oya [f] GDP growth trend versus estimated potential (OECD), 3-month average, %oya [g] FX Forward implied 3-month carry, annualized, capped at 20% p.a. [h] Local 3-month nominal rate differentials over base currency (US), % [i] Real FX carry: forward-implied carry, minus inflation expectation differential to base country (US) [j] Carry-to-vol ratio (exponentially-weighted annualized std deviation of forwards returns) [k] Broad (50% headline/ 50% core) annual inflation over target, p.p. [l] Inflation-adjusted credit to private non-financial sector, growth in excess of real GDP growth, %oya [m] Inflation-adjusted M1 growth in excess of real GDP growth, %oya [n] Exponentially-weighted (11-day halftime) annualized volatility of FX forward returns, % [o] Ratio of 11-day to 22-day halftime exponentially-weighted volatility of FX forward returns, p.p. [p] ATM 1M implied FX options volatility, % deviation vs. past 3-month moving average |
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| Swedish krona : macro factors as of 2019-01-13 | |||||||||
| USDSEK | comparison | historic averages | |||||||
|---|---|---|---|---|---|---|---|---|---|
| 12m ago | 3m ago | 1m ago | latest | Â | DMAVG group | Â | 2003-2009 | 2010-2019 | |
| Valuation/fundamental and competitiveness | |||||||||
|   Real FX vs. 5Y, % [a] | -4.95 | -6.42 | -6.5 | -5.3 |  | -3.09 |  | -1.75 | -2.88 |
| Â Â Current account balance, % of GDP [b] | 3.17 | 2.13 | 2.13 | 2.13 | Â | 1.56 | Â | 6.76 | 4.62 |
| Â Â Trade balance, % GDP [c] | -0.24 | -0.6 | -0.64 | -0.64 | Â | 1.27 | Â | 4.46 | 0.79 |
| Â Â Trade balance, diff. oya [d] | 0.09 | -0.33 | -0.45 | -0.45 | Â | 0.1 | Â | -0.48 | -0.36 |
|   Excess GDP growth vs. US, % [e] | 0.26 | -1.35 | -1.35 | -1.35 |  | -1.23 |  | -0.07 | 0.4 |
|   Excess GDP growth vs. potential, % [f] | 0.65 | -0.44 | -0.44 | -0.44 |  | -0.08 |  | -0.8 | 0.8 |
| Carry and monetary policy | |||||||||
| Â Â Market-implied 3M FX carry, % [g] | -2.51 | -2.99 | -3.23 | -2.8 | Â | -1.91 | Â | -0.27 | -0.31 |
| Â Â Interest rates differentials, % [h] | -2.16 | -2.86 | -3.11 | -2.94 | Â | -2 | Â | -0.14 | -0.08 |
| Â Â Real 3M FX carry, % [i] | -2.45 | -2.85 | -3.09 | -2.66 | Â | -1.6 | Â | 0.1 | -0.01 |
| Â Â Carry-to-vol ratio [j] | -0.28 | -0.33 | -0.37 | -0.26 | Â | -0.25 | Â | -0.05 | |
| Â Â Excess inflation, % [k] | -0.26 | 0.32 | -0.04 | -0.04 | Â | -0.21 | Â | -0.64 | -0.97 |
| Â Â Excess credit growth, %oya [l] | 2.3 | 3.85 | 4.21 | 4.21 | Â | 0.61 | Â | 6.34 | 1.06 |
| Â Â Excess M1 growth, %oya [m] | 3.71 | 3.14 | 4.05 | 4.05 | Â | 1.93 | Â | 4.42 | 4.52 |
| Market distress | |||||||||
| Â Â FX Fwd market, short-term vol., % [n] | 8.95 | 9.01 | 8.75 | 10.81 | Â | 7.59 | Â | 10.35 | |
| Â Â Volatility shock (ratio s-t/m-t) [o] | 0.15 | 0.03 | -0.04 | 0.21 | Â | 0.02 | Â | 0 | |
| Â Â Implied FX vol deviation, % [p] | 0.01 | -0.58 | -0.53 | 0.06 | Â | 1.13 | Â | 0.16 | -0.14 |
|
[a] Real effective exchange rate, % change versus previous 5-years moving average [b] Current account ratio, % of GDP, 12-month trailing [c] Trade balance ratio, % of GDP, 12-month trailing [d] Trade balance ratio, % of GDP, change over 12 months ago, in p.p. [e] GDP growth trend versus base country (US), 3-month average, %oya [f] GDP growth trend versus estimated potential (OECD), 3-month average, %oya [g] FX Forward implied 3-month carry, annualized, capped at 20% p.a. [h] Local 3-month nominal rate differentials over base currency (US), % [i] Real FX carry: forward-implied carry, minus inflation expectation differential to base country (US) [j] Carry-to-vol ratio (exponentially-weighted annualized std deviation of forwards returns) [k] Broad (50% headline/ 50% core) annual inflation over target, p.p. [l] Inflation-adjusted credit to private non-financial sector, growth in excess of real GDP growth, %oya [m] Inflation-adjusted M1 growth in excess of real GDP growth, %oya [n] Exponentially-weighted (11-day halftime) annualized volatility of FX forward returns, % [o] Ratio of 11-day to 22-day halftime exponentially-weighted volatility of FX forward returns, p.p. [p] ATM 1M implied FX options volatility, % deviation vs. past 3-month moving average |
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Nominal GDP
Real GDP
Potential output
Headline inflation
Core inflation
Inflation target
Balance of payments
Current account balance
Foreign Direct Investments
Portfolio flows
Foregin reserves